Hoang,
The erro is saying that you have over 1000000 incidents in the DLP system. That is a LOT of incidnets to keep.
You should be deleting these incidents overtime.. the idea is to keep incidnets in the system that are needed for legal purposes over a period of time. Most of my customers fdo not keep incidents in the system over 1 to 2 years and will delete them from the system completely. The ONLY ones to keep are the ones that are under investigation or are needed for Legal purposes.
The system is giving you this warning for reports will take longer to run and can impeded the perfromance of the Reporting aspect of the console.
Hope this makes sense.
If this solves your questions please marked as solved.
Ronak