Apple security warning what is this?

This is a scam. Most likely caused by false notifications. Check your notification settings via

1. On your Mac, choose Apple menu  > System Settings, then click Notifications  in the sidebar. (You may need to scroll down.)
2. Below Application Notifications on the right, click an app or website, then turn off Allow notifications.
3. You won’t receive notifications for it until you turn on “Allow notifications” again.

Also, go to safari>preferences>extensions to see if you have any unwanted extensions running that can cause this behavior

In addition to WheelieNick's excellent advise,

see > Recognize and avoid phishing messages, phony support calls, and other scams - Apple Support