Hi,
Something has changed since last update.
After updating WP and Wordfence to the latest available versions, I have tried it again and now the behavior has changed.
After enabling "Falcon Engine" the selected option does not change back to "No performance improvement" anymore.
But that's all... caching is still not available.
To check if its working, I have enabled debugging mode and debugging comment. I was not able to see any comment below the html tag on any page.
Thanks