We have a guide for getting things setup with PokerStars
here and PokerTracker 4 is telling you that PokerStars is not saving your hands so make sure the option to "Save My Hand History" is enabled via 'PokerStars Client -> Settings -> Playing History -> Hand History' and that the directory listed is the same as in PokerTracker 4. Your last screenshot indicates that PokerTracker 4 may be looking for hands in an incorrect folder so please
enable logging, reproduce this problem and then send your log file to us in a
Support Ticket so we can see what is going on here. You can access the log file by clicking 'File --> Show User Data Folder' in the main PokerTracker 4 window - the file we need is the text file called 'PokerTracker4.log' that is in that folder.