I have just seen this screen on my iMac M1 running Monterey 12.2.1 Do I need to panic or is it just a scam?
That is what is known as a "phishing" scam. It uses social engineering to get you to do something that you really shouldn't do, like give out your personal financial information. The most important thing to do when you encounter such a scam is to not do anything that the scam implores you to do. Don't click on any buttons, don't follow any links, don't call any phone numbers, etc. Just close the window in your browser and go on with your life.
However, in some instances this is more than just a phishing scam. If this window keeps on popping up in your Web browser you may be infected with adware. Adware isn't malicious, it won't harm your Mac, but it will be annoyingly persistent in that it will keep on displaying this scary sounding alert.
If you keep on seeing that pop-up window, download this free anti-adware software and run it:
DetectX Swift (free)
kicking out badware on macOS since 2014
sqwarq.com
DetectX Swift should be able to easily find the adware and offer to eliminate it for you.