The lists are fortunately pre-installed with ublock-origin, just need to enable all lists within options: Built-in, Ads, Privacy, Malware, Multipurpose, and Annoyances

EDIT: I spoke too soon, saw another popup today

EDIT: Ignore the following, the next day the popup message returned unfortunately

I can confirm, I was getting the popup message yesterday with ublock-origin and was able to fix it by not only updating my filters but also subscribing to all the optional filters. It seems the default lists don’t have a fix yet but one of the optional ones does.