This warning message appears when you attempt to connect your wallet to a site that may be a phishing scam. It will look something like this:
We recommend you do not connect your wallet to sites that trigger this message.
If you're the owner of the site and believe it has been wrongly marked as a potential scam, please log your case here: https://github.com/metamask/eth-phishing-detect/issues
One of our team will then review your case as soon as feasible and may whitelist your site depending on their findings.