I believe this is a message to encourage users to by the Kaspersky VPN. This is not good to mislead users and make them think they are not secure.
Also mentioning that user is using a “Public Network”, makes it worse.
I live in USA and I’ve been using Kaspersky since long time ago despite all issues between US and Russia and still stick to Kaspersky. This misleading message is so annoying.
I hope a technician from Kaspersky clarify this situation.