You need to add extra rules to ufw to satisfy psad. Edit following two files:
sudo vi /etc/ufw/before.rules
sudo vi /etc/ufw/before6.rules
To both files listed above, add following lines for psad, at the very end, but before COMMIT
# custom logging directives for psad
-A INPUT -j LOG
-A FORWARD -j LOG
# don't delete the 'COMMIT' line or these rules won't be processed
COMMIT
Next restart ufw
sudo ufw disable
sudo ufw enable
and then check if it worked with
sudo psad --fw-analyze
[+] Parsing /sbin/iptables INPUT chain rules.
[+] Parsing /sbin/ip6tables INPUT chain rules.
[+] Firewall config looks good.
[+] Completed check of firewall ruleset.
[+] Results in /var/log/psad/fw_check
[+] Exiting.
That's it. Read more tips and tricks on how to configure PSAD with UFW