OK I have run a test on on of my systems, logged on to my PayPal account and no alert.

Some differences on my system:
I’m using avast free 12.3.2280 on this win10 laptop. Firefox as opposed to the SafeZone Browser, and Outpost Firewall Pro as opposed to the avast firewall.

EDIT: Looking at your images again, it may be the the safezone browser doing something extra and that javascript authorising check may look suspicious to it. You could try logging in to paypal using a standard browser and not safezone browser to see if that works.