Exclusion activity/step in a workflow is blinking red and the workflow journal states "You must define the main set for exclusion".
While some activities have a default configuration that works as expected (Intersection, Union) and others have a default configuration that acts as a "pass-through" (Split), you must always configure an Exclusion activity to indicate which of the incoming sets should be kept.
Edit the Exclusion and select as the Primary set those records you want to keep. The data sets will be listed by the name of the activity that generated them.
Always remember to configure the primary set in an Exclusion!