The US Government has banned all US companies, including Google, from trading with Huawei. So Huawei can't get its apps onto Google Play Store. Further, since Huawei AppGallery is effectively an
alternative to Google Play Store (in that it's a repository of downloadable apps for Android devices, without any involvement from Google), it's not something that Google would be very happy with promoting anyway.
In order to get around the problems caused by the US trade ban (which would otherwise leave its own Android phones without any app store for users to download from, since they can't include Google Play Store on them), Huawei has set up its own subsidiary, called Huawei Mobile Services:
https://huaweimobileservices.com/
If you click on 'AppGallery' from that link, and then on 'Install AppGallery', you'll be taken to my second link above, which is PERFECTLY SAFE. However your phone is configured to warn you if you try to download anything from anywhere other than Google Play Store, so that's why you're seeing a warning message. You can safely IGNORE it and continue with the download.