Is this iPhone alert Trojan/Malware?
This looks like a "Flash SMS" or "class 0 message", supposedly only available to be sent by your carrier, but available to others via Apps (Apple App Store, Google Play Store) and in some carriers, by prefixing your message with *go.

There are more technical details on this answer at Stack Overflow, specially in this linked article: 


  As per the SMS specification, after pressing “Dismiss”, the overlay and message disappear and the message is immediately discarded, leaving no trace of its delivery on the phone


I wouldn't worry much, but be sure to check your bills as it may be a sneaky way to forcing you into those pesky SMS subscription schemes, as referenced by this answer here on Ask Different.