I don't think it has anything to do with McAfee. That's just what the scammers want you to think so that you'll click on something on that site to get further in with them. On my MacBook, after it tells me I have a bunch of viruses infecting my computer, which I don't believe I do, it says "Proceed," which of course I don't do.
I think it's operating as, or is disguised as, an ad on a news site I use a lot, and that site lets it in as an ad, along with a lot of other ads, probably without knowing it. Most of the ads there are on the side or at the top of their page. This is the only one that opens a new page, and that's why I can just click my "back" button on Safari to go back to the news site. But it seems that Safari doesn't know that it could be more than just an annoying ad.
This news site is the only site where this happens to me so far. That's why I think it's acting like an ad and getting through there.
What are you doing on your phone when this pops up? Does it seem to be associated with a particular site or activity for you? Does it ever happen on your MacBook?
I'm surprised that you're the only person in the community who seems to have experienced something similar, as I was hoping a bunch of people would have tried different things. I will continue to experiment to see if the same thing happens from other sites, and I'll then report to Apple what I've found.