Hi @ferhatakguen,
Please try the following:
Scroll to the bottom of the Wordfence options page. Check the box to disable config caching. This will stop Wordfence from using a file to cache it's own options which are stored in the database. That way we're sure that any options you set (like enabling falcon) will be saved and you're not having an issue caused by using a disk cache to store serialized config data for Wordfence.
Save your options once you make that change.
Then go back to the performance setup page and make sure caching is still enabled. Clear the cache. Make sure that option to insert a comment for debugging is still enabled.
Then hit a page you expect to be cached. Then hit browser reload to get the cached version. Check the HTML source and see if it is the cached version.
Also check the wfcache directory and subdirs to see if anything has been written.
If it's not caching and nothing has been written, check your web server error log if you have access to that and let me know if there are any errors in there. Also let me know that you're running Apache or LiteSpeed or Nginx or what your web server is.
Thanks!!