A few possibilities I can think of.
1: Your employer pays for cyber security auditing, and included your personal email under your information.
2: It is possible that this is a precursor to an attack and you are just someone's guinea pig. Emails can be embedded with things like X-Confirm-Reading-To or Disposition-Notification-To in the header to let the sender know how far his email got. This means that the attacker knows that whatever he did validated through SMTP and anti-spam protection and that you opened his email. If he's trying to build a list of marks for a future spam campaign, something simple like this would help him keep a small cross-section on his outbound list to avoid spam filters for longer.
3: What you are receiving is redacted. Your accounts security features striped out whatever the real threat was; so, now all you get is the taughtning message.
4: There is a payload that runs on opening the email that you just can't see. You don't generally hear about these very often anymore, but doesn't mean they can't still exist.