Not always. Wallets scan every transaction and show a warning for things they cannot recognize. New sites, new tokens and thin liquidity often trigger one. A warning is a reason to read, not proof of a scam and not proof of safety.
Read what the wallet says it will do. A MemeWarzone trade sends your coin or token to the curve or pool and gives you the other side. It should never ask you to approve unlimited spending for unknown addresses or to share your seed phrase. If the request does not match what you pressed, reject it.
If the site is brand new on a partner website that uses the swap box, Phantom can show a message that the domain is new or not reviewed. That comes from Phantom checking the website and usually goes away within days.