For people who are not able to make the change, perhaps some third party software is interfering with the normal operation of macOS, or the Mac is being managed by an MDM profile by a school or business (or previous owner of the Mac). If you are not the main user of this Mac, then perhaps the owner/admin of this Mac has configured the other user accounts not to be able to modify certain settings...even if the secondary users have an admin account (managed systems can even have admin user privileges restricted).
It should also be possible to change the shell presented when launching Terminal by modifying the setting within the Terminal Preferences/Settings within the GUI interface itself. Change the "Shells open with:" option and select "Command (complete path)" and entering "/bin/zsh" without the double-quotes (located on the "General tab section). By default it should show "/bin/bash" for people who have upgraded from older versions and have not been successful in using the command line utility to modify the default shell setting (again assuming macOS has not been configured to prevent modification of these settings). This will allow the Terminal app to launch new sessions with zsh, however, if you later toggle back to the "Default Login shell" option, then it will revert back to the bash shell and you will continue to get the notice about zsh being the new default interactive shell.
Unless you use the command line all the time, there is no need to make any changes whatsoever. Just ignore the message.....it quickly scrolls off the screen anyway after issuing a few commands so why the big deal? If you are familiar with the command line, then most likely you already have a shell you are comfortable using...so just use that shell.
FYI, for people who are copying & pasting the command, make sure you are only copying & pasting the following text...do not include the "run" part and not including the trailing period (aka dot):
chsh -s /bin/zsh
or it can include the back ticks as shown in the notification:
`chsh -s /bin/zsh`
Copying & pasting either of these two lines I just posted should just work unless your macOS has been modified by some custom configuration, management profile, or third party software. These commands should also work even if your user account is a Standard account (again assuming no customizations which have limited the ability to customize the user account).
An unmodified macOS will have these commands work every time. If they are not working, then you need to look at your system to find out what apps, settings, or custom configuration or management is being performed on your computer. You may even need to take your computer to Apple or an AASP for assistance since it may require a hands on experience to figure out why a simple command is failing to work.