Yeah, I agree, I'd rather leave it on...
Many of the sites that gave me the error message were mainstream: NY Times, Twitter, Facebook, etc.
Spectrum is my internet service provider: They came out because of that error message. They swapped out the modem, rewired from the modem to the roof, reset the modem, re-balanced the signal.
I get the error message when hard wired or Wifi, on my desktop and my laptop (both Macs), and using either Chrome or Safari.
I also reset my Chrome settings.
The only thing that worked was when I shut off the Web Shield.
As far as I know, I have no other security software installed.
I have VPN but I haven't been using it lately.