phone not connecting to wi-fi due to privacy warning

If you use Public Wi-Fi, see this Apple article: Use captive Wi-Fi networks on your iPhone, iPad or iPod touch

https://support.apple.com/en-gb/HT204497

If you use your Home Wi-Fi network,

Try this: Disabled Privacy Address.

Forgot this network.

Rejoined that network while submitting a password.

See the following Apple articles:

Connect to Wi-Fi on your iPhone, iPad, or iPod touch

https://support.apple.com/en-us/HT202639

If your iPhone, iPad, or iPod touch won’t connect to a Wi-Fi network

https://support.apple.com/en-us/HT204051

Do you have VPN enable on your iPhone? If yes then disable it and try to connect to the wifi