Why am I getting a privacy warning on my phone when I am connected to my home wifi?

That means that your phone is using its real Wi-Fi address in communicating with your router. As it is your router this is not a problem; you can ignore the message.

If you go to Settings/Wi-Fi and tap on the i next to your network name you will see a switch for “Private Wi-Fi address”. If this switch is on your phone will use a fake Wi-Fi address when you connect to a Wi-Fi network to prevent you from being tracked from one network to another; it will use a different fake address with each router you connect to. While you can turn it on for your home network to make the warning go away, it isn’t really necessary. It should be on for any public networks you connect to, however.