I just upgraded to macOS 10.15 Catalina, and now I have this (1) badge on my System Preferences dock icon.
Here's my System Preferences:
I don't see any badges on the preference pane icons, but I did click through to each of them and didn't see any obvious action items. I was signed in with my Apple ID previously, and signing out did not make the badge go away.
Best Answer
I just upgraded to Catalina and ran into this problem. To fix it, it went into System Preferences > AppleID (Top right hand corner) > the left panel, click on Overview > There, it should say you need to link your AppleID once you've done that, it will ask you to enable two factor authentication. Once I did that, the red badge for system preferences went away.
Hope this helps