Why I received a message "You have a new critical system message"

That’s from a spam calendar that you were tricked into installing. untpresearch.xyz is clearing not an Apple site.

The message to update Apple ID settings IS legitimate, however. Open Settings, tap on your name at the top, and you should see a message to accept new terms and conditions.

Sounds like a scam. That is not something that I have ever seen in iOS. What was the context; where did you see it?

Tap Sign In & Security and sign in again