The data protection option was created in order to give the property a tool which will help to prepare your FrontDesk Master account for GDPR (click in order to get more information).
In order to enable the data anonyzmization option go to Property Settings / General / Data Protection Settings and click on Enable anonymization
Once you click on it you will see a pop up with additional options. Put your user details, choose the information you want to anonymize and also the number of days after the check-out the anonymization should be applied. Confirm thechange and click on Enable.