This check notifies you if you are connected over unsecure WiFi and not using a VPN. Unsecure WiFi is defined as one where the connection between your Mac and the access point is not encrypted.
When you're accessing internet through public or unknown WiFi access, there is a danger that a malicious actor could have put a sniffing software on it which would expose your internet traffic.
Unfortunately, some places have routers that prevent VPN access. When this happens, we strongly recommend you avoid doing any sensitive work online. Disconnect the Mac and work offline.
Fifteen to twenty minutes to sign up for a VPN service and configure it.