The SSH Security Warning dialog box appears automatically when you try to connect to the host when its host key is not saved in the host key database on local machine.

It shows the fingerprint of the host key and you can follow one of three actions: Accept Once, Accept & Save, and Cancel.

Accepts the host key and connects to the host only for this connection. The host key is not saved in the database and you will see the same dialog box at the next connection.

Saves the host key in the database and connects to the host. The SSH Security Warning dialog will not open at the next time. You can choose this command when the fingerprint is a correct one and you connect to the host frequently. Be sure to remove the key from the database when the remote host has changed its host key.

Rejects the host key and cancels the connection.