Hi jiji44,
Private Relay is a feature of the iCloud account that is hosting your email address. Here's some information from the About iCloud Private Relay resource that should provide some insight:
"If your system settings prevent Private Relay from working
In System Settings on your Mac, you might see an alert that says "Some of your system settings prevent Private Relay from working." If you do, a third-party app — such as a VPN or internet filtering software — might have installed settings or extensions that are incompatible with Private Relay. For example, the third-party app might have installed a kernel extension or applied custom packet filter rules.
If you want to use Private Relay on your Mac, turn off or uninstall the third-party app."
Take care.