We have accounts at Lloyds and I've just tried mine and got on OK. No warnings. I would ring them and ask them about it. Sounds like a scam, if so thanks for the warning.
Tried to log on to my account this morning and there was a long spiel about how they plan to use my data and if I agreed with it I had to click Confirm and Continue - but there was no option if I did not agree - you had to click confirm in order to continue to your accounts! Hmm.