Why am I getting an error message in my dashboard for unprotected private files?
The error, which is reported by system_requirements(), means that either that directory doesn't contain any .htaccess file, or that .htaccess file doesn't contain the following lines.
&lt;Files *&gt;
  # Override the handler again if we're run later in the evaluation list.
  SetHandler Drupal_Security_Do_Not_Remove_See_SA_2013_003
&lt;/Files&gt;

Together the lines added from a previous security advisory, they avoid files in that directory can be executed.
# Set the catch-all handler to prevent scripts from being executed.
SetHandler Drupal_Security_Do_Not_Remove_See_SA_2006_006
&lt;Files *&gt;
  # Override the handler again if we're run later in the evaluation list.
  SetHandler Drupal_Security_Do_Not_Remove_See_SA_2013_003
&lt;/Files&gt;

Before showing that error message, Drupal tries to create the .htaccess file. (See HtaccessWriter::write().) If it's not able to create it, or write into that file, you should manually create the .htaccess file containing the following lines.
# Deny all requests from Apache 2.4+.
&lt;IfModule mod_authz_core.c&gt;
  Require all denied
&lt;/IfModule&gt;

# Deny all requests from Apache 2.0-2.2.
&lt;IfModule !mod_authz_core.c&gt;
  Deny from all
&lt;/IfModule&gt;

# Turn off all options we don't need.
Options -Indexes -ExecCGI -Includes -MultiViews

# Set the catch-all handler to prevent scripts from being executed.
SetHandler Drupal_Security_Do_Not_Remove_See_SA_2006_006
&lt;Files *&gt;
  # Override the handler again if we're run later in the evaluation list.
  SetHandler Drupal_Security_Do_Not_Remove_See_SA_2013_003
&lt;/Files&gt;

# If we know how to do it safely, disable the PHP engine entirely.
&lt;IfModule mod_php7.c&gt;
  php_flag engine off
&lt;/IfModule&gt;

The same lines are shown in the error message contained in the Drupal log.