People do have to familiarize themselves with the features of the security software they are using. Below is a screen shot of what the actual alert looks like from SmartScreen in IE11. Of note is the offending web site in the URL window is show in light red. Also the actual alert text body makes no reference to the actual web site. Of primary importance is to never click on any explicit or implicit links from security related popups if possible. Rather exit the current web page by other means. It is a given today that virtually any security alert can be phished.
It's reminiscent of those tech support scams with the script loop back when Edge first came out. I still won't use the browser like I want to, and this is why. What do you do when you're confronted with one of these, end it in task manager?