This message in your Company Portal app, or received via email alert, is informing you that ThreatLocker is not installed on your computer. It is warning that your device is out of compliance with your companies compliance policies, required for access to company resources such as email, Teams, OneDrive and SharePoint.
You can check for the agent in your system tray (click the ^ arrow by the time to see all icons), the icon is named Zero-Trust Security and looks like this: 
If present, please open the Company Portal app, select your device, and then click the Check Access button to start a scan to confirm it is running.
If the icon is not present, or the scan does not clear the alert when it has completed, please contact us to get the application installed and the alert resolved, either by phone: 01932 808084 or email: helpdesk@itsplus.co.uk