Thanks AdvancedSetup, but the point of me replying in a similar topic was to point out the problem was not an infection limited to one computer, but a new change that came in a recent Windows update. I saw others replying the same thing. Now that you split it in a separate thread, the message got lost.
If you search a bit online, you will find tons of similar messages, it seems like Microsoft added a new rule a few days ago that report any attempt to modify the hostfile to block advertising by rerouting them to 127.0.01 as a HostsFileHijack
https://www.reddit.com/r/techsupport/comments/hvxu40/windows_defender_and/
https://answers.microsoft.com/en-us/protect/forum/all/settingsmodifierwin32hostsfilehijack/dab53827-1226-46ee-95a7-3e8e78a49f11
https://www.bleepingcomputer.com/forums/t/726952/threat-detected-settingsmodifierwin32hostsfilehijack/
So this is not an infection, and nothing to worry about.
Sorry but I refuse to run multiple scan tools that will reset my settings and delete "non conform" software.