It's overly 'sensitive' about sites that they think are collecting information.
In this case it's probably just http rather than https with extra security checks
Practically all modern websites are doing something with cookies to make visiting more convenient.
You can just click proceed anyway or whatever it says for sites you visit regularly, it should remember your choice.
You might try updating that bookmark or link by editing it to https - they probably have both options running for the time being.