should I have Lockdown mode on on my Mac computer

The weird message pop-up on my computer about threat detected- Trojan spyware. My PC has been blocked for security reason and to contact Mac Support. There was a phone number that I couldn’t find on Apple support page.???

Restarting computer didn’t help to close the message. I turned Lockdown mode off, computer restarted itself automatically, and PC is working, no problems or messages.