The threat database holds lists of dangerous websites and known scam senders, kept on your phone so every message can be checked offline. The lists come from public sources such as CERT Polska and update automatically in the background when the phone is online.
See its status: Settings → Threat database shows when it was last updated ("Updated … · …"). Right after installing, it shows "Built-in list · … · waiting for the first update" until the first update.
Update now: tap Update now. It needs an internet connection.
Downloading the lists sends nothing about you or your messages. Messages that arrived before an update can still be warned about later: if a link you received turns out to be on a list, 1krBlocker alerts you.