My phone shows the message and isn’t supervised

Then apparently you didn't remove the supervision correctly. Contact the developer of the 'app' you used.

You have likely tied your device to their MDM system.

Apparently, it IS supervised.

Where did you get it?

If you bought a used phone, you likely purchased a stolen device that is owned by a corporation that uses Apple's Business Manager program.

Nope.

I cannot find that in the US App Store, although it seems this is a jailbreak app upon further searching.