Apple sent new threat notifications to iPhone users in 110 countries, now shown on the lock screen as well as by email and iMessage. The alert means Apple's systems saw activity matching a targeted attack, not that the phone is already breached. Apple will never ask you to click links, install apps or profiles, or confirm your password through a message. Check the alert only via account.apple.com directly. Turning on Lockdown Mode is Apple's first recommendation, and do not factory-reset the phone if you get an alert, since the traces matter for investigation. Most users will never be targeted like this.