If you followed all the Hide My WP indications, probably it’s a .htaccess file issue.

Please check the .htaccess file and look for

# BEGIN WordPress
<IfModule mod_rewrite.c>
RewriteEngine On
RewriteBase /
RewriteRule ^index\.php$ - [L]
RewriteCond %{REQUEST_FILENAME} !-f
RewriteCond %{REQUEST_FILENAME} !-d
RewriteRule . /index.php [L]
# END WordPress

If you see 2 similar blocks like above, please remove one of them because this is the main issue in the last versions of WordPress.org

After you deleted one of them, save the .htaccess file and try to set the Ninja Mode again.

You can use https://wordpress.org/plugins/wp-htaccess-editor/ plugin to edit the .htaccess file.