I had this same issue creep up today with the “wp_privacy_delete_old_export_files failed to run” message in my customer’s Site Health box.
They’re running WP 5.4 and WooCommerce. I remember seeing this message a few times across versions so upgrading does not appear to fix it, and it has been around for a few upgrades now I believe.
I was able to clear the message out by going into the database “options” table, and editing the “cron” option row to remove the offending event. It appeared at the very top of my cron option string, but results may differ from one install to the next. I did also notice that there were duplicate entries for this event.
Once I removed this event, saved the database table row, and refreshed the Site Health page, I had a new warning message about another scheduled event failing to run on time. To fix this I just loaded “http(s)://youdomain.com/wp-cron.php” to manually trigger all of the cron activities again. You will have to modify this URL to fit whether you are using HTTP or HTTPS, as well as replace “yourdomain.com” with your own domain or the path to your WordPress install if it is in a sub-directory of your domain.
The key thing I noticed is that even after removing the offending scheduled events from the scheduled event from the cron database table row, the events did come back after reloading a page on my site, but with different details from the looks of it. So my best guess without really digging into it too much more is that there are old scheduled events that aren’t getting cleaned up even though they are being created new again after upgrade.