Hello unexpected01,
An image of this would be nice! No, Apple does not send these messages!! This is usually some website or app popup trying to trick you into clicking it. The best thing to do is force quit out of the app you believe is causing it.
I would suggest looking at Privacy & Security within the Settings app and going through Safety Check. Revoke access to people and apps that are utilizing privileges you believe they shouldn't have. Changing your Apple ID password and device passcodes might also be smart.
A little more advance, but Activity Monitor can be used to track unknown and unwanted applications - Activity Monitor User Guide for Mac - Apple Support. It is advised to go through this. The Network tab is usually the most interesting. Kill any process you do not recognize.
Do not install any anti virus, desktop cleaner, etc. software. Your MacBook has some pretty strong features to protect you and your data. Go through the sections of Privacy & Security within the Settings app and revoke access to apps. I would be careful with:
- Files and Folders
- Microphone
- Screen Recording
- Camera
- Full Disk Access