I wouldn't understand that. Is it getting a manufacturer address to block some devices? Does it use a key to encrypt something? Which "security device? /dev/urandom?
I see that non-technical users can be confused by too much information, but when you omit this even knowledgeable users can't make an informed decision.
You would because there'll be context:
1- You'd be in a page where you'll be enrolling your YubiKey or WebAuthn device. You'll be having your key at hand, or recently plugged in.
2- Your device's LED would be flashing, and you'll be pressing to the button on your device.
3- The warning will pop-up at that moment, asking that question to you. This means the website probably querying for something like the serial number of your key, which increases the security, but reduces your privacy.
With the context at hand, you'd understand that instantly, because the place you are and the thing you're doing perfectly completes the picture, and you're in control of every step during the procedure.