This is an SSL error, mostly likely due to an expired certificate. If you are using a public server, it may simply be that the certificate has been replaced, in which case it is safe to proceed. Otherwise, it may make sense to be cautious, especially if you are connecting over a public wifi. To find the existing certificate, look in the certs folder of Sparrow home for a file with the same name as the URL of the server. You can delete that file to clear Sparrow’s record of the SSL cert. It will download the cert again on reconnection.
An expired certificate is not the only way you'll get a warning when connecting to Sparrow Wallet. Also if the certificate being served is for a different hostname than the one that the wallet is making the request to, the validation will fail and you will also get this recording.
SSH was (and still is) very big about this back in the day. That's why it always shows you the fingerprint before you connect to a server and even makes you type "Yes" or click OK before proceeding, and a lot of software has copied it. It is something that Sparrow should also do tbh. With a checkbox to "don't show this again" of course.