There was a scam I heard of before with messages similar to that one (but longer in length) saying you'd watched a video that you shouldn't have for free and needed to pay money or face prosecution.
You really shouldn't click on links or anything in these types of messages or emails. Can open up a whole load of trouble.
If it's stuck on your phone I'd try "Apple customer support".
There wasn't anything to open really, just the message at the bottom or dismiss.. bit worried now
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