If you're coming here because you're suddenly receiving this message because of a Windows update, even though you haven't changed anything yourself, you are not alone.
After being there myself this was incredibly easy to fix but Microsoft have of course made it difficult to discover that. I can't remember the exact steps because I had to figure it out as I went and they're gone now it's fixed. But if, like me, you were only signed into a Local Account before this all happened then try the following:
- Go to Settings > Accounts and sign in with your Microsoft account
- After that it should come up with asking you to set up Windows Hello again. If it doesn't, seek it out in Settings and do it yourself
- Reboot and test that your PIN and fingerprint - which no, you never changed yourself - still work
- If so, go back into Accounts and sign out again back to a local account
You will probably find that Microsoft are insistent you back up your BitLocker keys first. It's a small pain to do but they're making it even harder for you to not be signed in to a Microsoft account. You should also find they do the same with Microsoft Edge, because they're desperate to have you use Edge instead of Chrome.