Strange jailbreak message

That's just a bug in the app. Apple strongly discourages apps from trying to detect jailbroken devices simply because so many of them do it so poorly. They wind up blocking legitimate users like yourself. At least, that's the general explanation for why it normally happens.

I think in your case, the explanation is a little different. Normally these apps don't want to run on jailbroken devices because that is how people pirate apps. If you look at this app in the App Store, you can see it is a free app. It doesn't even have any in-app purchases. So how is it funded? Obviously it is funded by selling your personal information, as is clearly disclosed on the disclaimer that Apple requires.

Therefore, we can reasonably assume that, in this case, your "security" apps are actually doing their job. Your app has detected this and is refusing to run because it can't track you.

This is a delicate and tricky issue. You don't need antivirus apps on iOS. In fact, the technical restrictions that Apple applies to all App Store apps make true antivirus apps flat-out impossible. Virtually all such apps are scams. That being said, it's not a black and white world. Even most "scam" VPNs might actually provide some VPN functionality and that might be enough to trip this particular app's VPN detection logic.

I don't know if the apps you have installed are scams or not. Clearly, they are functioning well enough to cause problems for this app. Of course, I don't know if the VPN apps themselves aren't selling your data. 😄 We don't live in a perfect socialist utopia. Everyone's got to make a living. Either you are paying for the software with cash, or with your data and behaviour. And if you aren't paying for it, then maybe someone else is paying the software developer and you are the thing being sold. It's a vicious circle. The only way out is to pay your way out. One way to do that is to leverage what you've already paid, to Apple. Don't install any 3rd party apps. Use Apple's built-in functionality. If Apple can't do it for you, then either do without or pay for a 3rd party app. There's no free lunch.

I have TotalAV WebShield VPN activated

You don't need TotalAV WebShield VPN, remove TotalAV WebShield VPN

Most antivirus apps for your iPhone aren't really designed to find viruses. They are often security programs that bundle multiple functions to justify the price asked. It is quite difficult for security software makers to make a really good antivirus app, because Apple has pretty much boarded up the system.

See also -> Check VPN (Virtual Private Network) and third-party software to help resolve network connectivity issues

Check VPN (Virtual Private Network) and third-party software to help resolve network connectivity issues - Apple Support