I think coinbase wants you to use Coinbase-OAuth authentication to prevent unauthorized access in your account and maybe someone trying to access your account via api's this is what I thought.

Anyway, according to Coinbase Connect (OAuth2) tool it is a 3rd party tool that can give other developer to access your account limited without giving the account’s API key or login credential.

So, this is just a notification and I think you can use it if you wan't someone to access partially or full your account, sometimes developer or business partner.