What is Paragon ExtFS?
Cinema servers expect DCP drives formatted as Linux EXT2, which macOS can't read or write on its own. Paragon ExtFS is a file system driver from Paragon Software that adds that ability. DCP Transfer installs a Paragon build licensed and tested for use with the app, so you don't need to buy or download Paragon separately.
Because Paragon ExtFS runs as a system extension, macOS blocks it until you approve it. On Apple Silicon Macs you also have to allow kernel extensions in Recovery first. Both steps are covered in Installing DCP Transfer.
Use the Paragon build that comes with the latest DCP Transfer installer. A version installed separately, or left over from an older DCP Transfer, may not work with your version of macOS.