A feature of the Shortcuts app is the ability to share shortcuts with other people. So what happens when you see a warning about unapproved shortcuts?
Enabled by default, Unapproved Shortcuts is an alert you will see when you add a shortcut to your library from outside the shortcut gallery. It just means that the shortcut is beyond Apple’s control.
Now when you add a shortcut shared by someone else, the app will take you through the list of shortcut actions to make sure it doesn’t do anything sneaky. In other words, it is an important security feature.