Karlie here from the Shopify Support Team! Our support team would be happy to dig into your account for you. I'm not able to dig into your account through the Shopify Forums Community, so what you will want to do is follow the prompts from our Help Page, here, to get in touch with our team via chat, email or callback.
Karlie here again! I've reached out to our internal team and the notification you're seeing will show up when a collection is showing available online, but it's not yet linked to one of your navigation menus (footer or main). A banner will show up and it will let you know that you need to add your collection to one of your menus. This banner notification is to notify merchants that while their collections are showing as visible, that they aren't yet connected to their storefront. To add the collection to your navigation menu, you can simply click on 'update your menu' from the banner notification or you can follow our step by step guide, here.
I hope this has answered your question. If not, or if you have any further questions please let me know. I will be happy to help!