Southwest (and most other airlines) is making a lot of schedule adjustments due to the pandemic. This includes adjusting some reservations from non-stop flights to flights with connections. You do have the ability to change your flights or cancel if you would prefer. There may be another non-stop flight available. if you do cancel you should be able to get a refund back to your original form of payment, not just travel funds if you paid cash.
In the email you received you should see this wording:
In the event this new itinerary does not work for you, we are offering the opportunity to change your flight date(s) and/or time(s) by up to 14 days from original travel date at no additional cost in accordance with our established reaccommodation practices.
For expedited service, you can change your flight at www.southwest.com/rebook3 within three days of the delivery of this email. Flights with no additional cost will display as “Available”. Should you need further assistance, you can reach a Southwest Representative at 1-800-IFLY-SWA (1-800-435-9792). * Please keep in mind that wait times may be very high at this time.
That explains your options pretty well. Note that you are required to make changes soon after receiving the notification so don't delay.
--TheMiddleSeat
