This type of security alert is not unusual. When you configure your Cozy to import your bank transactions or your invoices, your server will connect at regular intervals to the sites of your service providers to import your data (every night for banking connectors, every week for other connectors). The sites therefore see incoming connections that do not come from your personal computer but from our servers. Some sites believe that these connections are suspicious, since they do not have exactly the same characteristics as your usual connections, and therefore send you a message. This is a rather good sign, it proves the seriousness that these sites bring to the security of your data.
If you have any doubts, you can, in your Cozy, click on the connector concerned, then on your account. In the Synchronization tab of the window that opens, you will see the date of the last execution of the connector and will be able to check if it corresponds to the connection that the site reported to you.