This message is a little misleading. It should say that your connection is not yet protected by Norton Wifi Privacy, NWP. Just turn on the VPN to protect your connection. Tap on the big grey button at the bottom right of the screen.
If the network you are connecting to has not had the router updated to fix the KRACK vulnerability, it would be advisable to keep NWP enabled to help protect your data.
I'm not sure about the battery life, but the Wifi itself is probably the biggest user of the battery. Your speed will probably be reduced somewhat as there is overhead in the encrypting your outgoing data and decrypting the incoming data. Depending on what you are doing online, only you can determine if the safety of your data is worth a slightly slower connection.