HTTP/2 can serve your page's resources faster, and with less data moving over the wire.
See HTTP/2 Frequently Asked Question for a list of benefits that HTTP/2 provides over HTTP/1.1.
See Introduction to HTTP/2 for an in-depth technical overview.
Under URLs, Lighthouse lists every resource that was not served over HTTP/2. To pass this audit, serve each of those resources over HTTP/2.
To learn how to enable HTTP/2 on your servers, see Setting Up HTTP/2.
Lighthouse gathers all of the resources that are from the same host as the page, and then checks the HTTP protocol version of each resource.
Lighthouse excludes resources from other hosts from this audit, because it assumes that you have no control over how these resources are served.