I received a Warning, supposedly from Apple saying that my Password had been changed, which I did not do?.

You might want to consider changing your password and making sure it is a strong one. You can also add 2 Factor Authentication to your account for more security. If the attempts continue, you might want to consider a name change.

Link to contact Apple Support in the article.

Apple ID has been compromised.      *

Security and your Apple ID.   *

Device and Data Access when Personal Safety is At Risk    -

Checklist: If you want to see if anyone else has access to your device or accounts  *

 Apple ID Password Change.  -

Note the restrictions in the article.

Apple ID Name Change.  * 

 What to do after you change your Apple ID or password - Apple Support  *  I suggest doing this before you change your Apple ID or password.

Apple ID -Two-factor authentication   *

https://youtu.be/bMvU135jPCY

Two Factor Authentification availability.   *

2 Factor Authentication - How to generate a recovery key.  *

Apple ID - Using app-specific passwords.   *

Apple ID - Two Step Verifications FAQ    *