iPhones are not 100% hack proof but they are much better at security than compared to the competition. (In response to you saying “should I be concerned?”)
This type of message is a scam using scare tactics to fool people into downloading applications.
As long as you have the latest software updates (Official updates only by Apple) and have not clicked any buttons on the site then you are safe but the best thing to do when you get these pop-ups is to not click any buttons shown by the site but instead open a new tab (opening a new tab is just to prevent you accidentally clicking the website button) and exit the browser and clear all browsing data to which I say later on.
Also this particular website scam are designed to gather IPs (Internet Protocols), geolocation (not your actual address but where your IP is located) and collect browser information in order to start displaying malicious advertisements.
What you can do is make sure you have block pop-ups turned in the Safari settings by going to Settings > Safari > Under General see if Block Pop-ups is turned on
Another thing to as well is clear website data (this will clear all tabs so make sure you bookmark anything) you can do this by Settings > Safari > Advanced > Website Data > Remove all Website data
And also you can go to Settings > Safari > Clear History and Website data
This is the make sure you don’t have any leftover site data from the popup website.