Kaspersky pop up.

Do you have any streaming subscriptions, such as Netflix on your computer?

It looks like not even their team knows how to deal with this lol:

The workaround is to click “Ignore and remember”

Error while scanning the encrypted connection cs.emxdgt.com | Kaspersky Community

Do you have uTorrent installed?

Which website(s) do you visit that trigger generating this message?

Does it happen while using some program?

Some sites suggest it is a tracker & is embedded in Apps mainly games.
These are the apps it is mentioned as being linked to:
Domain Lookup – appchk: Privacy Monitor
Other sites say it is Malware yet strangely all AV state it’s not malware.

It's advertising solution for online firms:

ENGINE Media Exchange (EMX) is a leading end-to-end technology platform and programmatic solution, purpose-built to evolve today’s digital marketplace.

enginemediaexchange.com | Futureproof Your Business

You know, there is just one way to deal with them, and I don't think Kaspersky is going to do that, but who knows...