The SSH Security Warning dialog box appears automatically when you try to connect to the host that its host key is not saved in the Host Keys database.

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. It is helpful if host key of the server is frequently changed, or the user rarely connects to the server.

Saves the host key in the database and connects to the host. The SSH Security Warning dialog box will not show up 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.

Does not accept the host key and cancels the connection.