This kind of warning does usually appears when a content (image) is posted on the page coming from a site with potential malware/virus...
EDIT:
I checked some of the images posted in the conversation between the 2 of you, but I am not able to find a warning so far.
I'd suggest next time you have the warning to check in previous post in your conversation which one could trigger it...
That shall be the explanation. As when you do Advance editing, you end up in the conversation thread between your posts...
At least, I don't see other explanation for now...