Your screenshot indicates the "Malwarebytes" product was already installed. Since it apparently failed to prevent that scam message from appearing, I suggest you uninstall it.
The decision to keep it installed or not is yours. It may not be doing any harm, but in my opinion if something is not providing a benefit then it's not worth keeping installed. Should you ever find yourself deceived into installing something actually harmful, removing whatever it may be is easily accomplished without having to install yet something else.
Read Phony "tech support" / "ransomware" popups and web pages - Apple Community for a few more examples of these common scams. They are not viruses, and they are not malware. They're just images, pictures, inert and utterly harmless in and of themselves. The information they portray is just a pathetic lie. A picture cannot harm anything. Problems only arise when people choose to believe what they say.

Please be circumspect when choosing to upload screenshots to this site or any other publicly viewable website. The screenshot you posted reveals some personal information — a piece of a calendar, a house plan website, your local currency symbol... that sort of thing. Sometimes even the lack of information can be a clue, if a website such as Apple's is missing some information present elsewhere. That's the kind of information scam artists with a lot of time on their hands exploit to defraud people.
The information you posted is probably not enough to warrant concern or to ask the site Hosts to remove, but it is more information than required to address the problem at hand.