I have just gotten a message that some content is blocked and given the option if I wanted to show it. This was the first time I had gotten this message.
I had just signed in to email account and there it was. Since this was the first I decided to unblock the blocked content. Is this a serious issue or should I do something about it?
No, not serious, as long as you trust the source. It's just one of the many examples of the way Windows and McAfee are trying to protect as much as possible.
I see those prompts quite often and decide on each one when it happens.