Bloody banks!
Just installed my banks app on my mobile
set up Mobile Banking
Logged into the account
Sorry you can't use a jail broken phone (I installed Graphene OS)

Got same message a few times, and gave up for a while!

Because of something else, I went into my VPN app to split tunnel another website and also split tunnelled the Bank app.

Tried the bank app again, and hey presto the bloody thing works and no mention of jailbreak!