Why is this message haunting me?

[bluewomble88]

http://i58.tinypic.com/2e0twqq.jpg

I have iPhone 6, IPad air 2, and MacBook.
If I choose security code it stalls when sending me a text. The other option does nothing. Had this problem for months on my iTunes and cloud account. What is it and how do I fix it?

 

[GGJstudios]

This may help, if you haven't already seen it: About iCloud Security Code alert messages