Does anyone know why the messages are still appearing?
There could be to answers to your question.
One is Cache and the other is missing Headers module.
How Does The Sucuri Cache Works?
There are two explicit and one implicit cache mechanism running in place during the execution of the web malware scanner. The first one is in your local web server, controlled by the plugin, and it usually expires every 20 minutes, you can reset this from the “Data Storage” panel located in the plugin’s general settings page, the file is called “sucuri-sitecheck.php”.
The second cache is controlled by SiteCheck, the server that the plugin uses to scan your website. The cache here expires every 48 hours unless someone requests a fresh scan before the automatic flush is executed. The problem is that requesting a fresh scan doesn’t flush the cache, it just skips it, the cache will still be served until the 48 hours period ends. In order to make the plugin show the fresh scan results every time it would require a modification in the code that would make your website admin interface load slow, this is why the cache is important, to prevent this slowness.
The third cache is implicit, and is part of another system that has little relation with the whole thing. This cache is controlled by the Sucuri Firewall. When your server sends a HTTP request to the SiteCheck API the firewall caches the request in one of our datacenters to serve the same request faster in subsequent attempts to request the same resource.
What About The Apache Headers Module?
The rules that you included in your access control file are wrapped around a condition that checks if the Apache headers module is enabled, otherwise the instructions inside that block are ignored. If you can verify that the module exists and is enabled then we can assume that the cache is the culprit, otherwise I suggest you to communicate with your hosting provider to ask for alternatives to include those headers. You can also include them using PHP but it requires the modification of one of the WordPress core files so I prefer not to teach you how to do it.
The cache will be flushed after 48 hours, you can ignore the warnings for now.