I keep getting a message "Your network preferences prevent content from loading privately. " How can I get rid of this?

Oops ... apologies ... noticing I missed registering that word "mail" in your your query.

With a Mail window open, try checking the settings in Mail > Preferences > Privacy

Cheers :-)

Hi, and Welcome to the Apple Community,

Wondering which Mac OS is installed on your MacBook Pro

You might want to check your network preferences to check the settings that are in operation

Eg: For access to settings see : Check VPN (Virtual Private Network) and third-party software

(NB: Virus checkers are unnecessary on Macs, and may cause issues ... pref. Sean uninstaller from the developer)

https://support.apple.com/en-us/HT211905

OR

Seems your Safari browser may be trying unsuccessfully to use Private Browsing:

You might want to look at the preferences you have set in Safari.

Apple support have an article online that may help:

Use Private Browsing in Safari on Mac

https://support.apple.com/en-au/guide/safari/ibrw1069/mac

Hope something here proves helpful in tracking down the source of the unwanted message :-)

All the best :-)