Pop-up Apple warning to contact Apple immediately.

No. Read Phony "tech support" / "ransomware" popups and web pages - Apple Community.

These are very common scams. You nearly fell for it, but you did the right thing by hanging up on the criminals. There is no justification for any additional action on your part, other than to tell your friends. Lots of people get victimized every day. Don't let them add to that statistic.

If you actually called then you need to replace any data credentials you discussed: passwords, IDs and the like. If you divulged nothing they have your phone number maybe but that's about all.

That was a scam I believe. Apple does not call or have pop ups for security warnings.