I had the same concern. I checked with Malwarebytes and found that the message is legitimate and will keep appearing until we make choices. It apparently has something to do with telling Malwarebytes-proper about "Okay" sites in Browser Guard. For more info, see:
support.malwarebytes.com/hc/en-us/articles/1500008507402-Manage-website-warnings-in-Malwarebytes-Browser-Guard
Can You Name 5 More Songs? (number 2)