Malware

There are no known Windows-like Viruses in the wild that self replicate and affect macOS, because of the underling UNIX  Foundation and Permission Limitation. 

The Only thing this Antivirus software is protecting is the Bank Account of the Developers and for zero return to the User aside from the problems this software creates.

The The Built in Security  is all that is required to protect the computer.

Should “ Certain & Specific Software “ referenced from above be installed - it will negatively impact macOS. It is suggested, to download directly from a respected ASC Contributor, the application Malwarebytes for Mac. 

It is free or paid for added features. 

Run the Application and it should remove the malware / adware. Once done, restart computer and test.

It has been a long time since I have seen one of these on my Macs, and I question whether Apple would have a checkbox to report malware to them.

Same here. The last time I saw such a dialogue box was when I intentionally installed some malware to see if MalwareBytes would find it. The OS saw it first and displayed this older alert (only an example):

But, Apple does have this exact version of the dialogue box, as show in dark mode on their site, about halfway down the page.

However, you still make a good point that a developer could have simply duplicated the look of the alert. Though it would seem unlikely they would rat out their own hidden file.

You can't find it in a normal Spotlight search because the name begins with a period. This automatically hides any file or folder on a Unix system.

This is an alert from the OS itself. It has determined this is a third party file/app that is trying to do something damaging to your system, or is a privacy violation.

Most likely, you unknowingly installed it by downloading software from an untrustworthy source. Download and run MalwareBytes for Mac. It's free to use and easily uninstalled from its own menu option when you're done.

Edit: Whoops! P. Phillips already mentioned MalwareBytes.

It has been a long time since I have seen one of these on my Macs, and I question whether Apple would have a checkbox to report malware to them. It could also be a malware dialog modeled after the real operating system dialog, and does its own mischief when the user clicks Move to Trash. I also don't think that the question (additional help) mark is located where it would normally be placed in real Apple dialogs, or why it is on this dialog at all.

FYI this is a leftover from and adware programs called AdLoad. The malware also installs a system cronjob and an application in a subfolder of your user’s Library Applications folder. The subfolder has a UUID-hexadecimal pattern of 8-4-4-4-12 characters.

You are welcome and thank you too.

Do come back to the Apple Support Communities ( ASC )  in the future, if / or when additional questions may arise