Apple Detecting Jailbreak on a NOT jailbroken iPhone
That notification could have come from any app.  Check under your settings which apps you have got that you allow notifications from.  I am not aware of any official method for Apple to send these out, and unless there was some sort of corrective action or advice attached I can't see the point in you receiving it either.  This is almost impossible to provide a real answer to, but my first thoughts are either a prank or compromised notification through one of your existing apps.

If you receive it again, take a screen shot - hold down your home button, then tap the power button - the screen will flash white and the picture will appear in your camera roll.