Jump Desktop Connect is an app that lets you control your Mac from anywhere. To do this, it needs permission to record the Mac's screen and use accessibility features to control the Mac's keyboard and mouse. Starting with macOS Mojave (10.14) apps need permission to access accessibility features. Starting with macOS Catalina (10.15) apps also need extra permission to record your Mac's screen.
Q: I don't want to remotely access the Mac that I'm being prompted on. What should I do?
Uninstall the Jump Desktop Connect app: Open up the Jump Desktop Connect app and then click the settings icon and then click Uninstall -> Uninstall Jump Desktop Connect.
Important note: Jump Desktop Connect is different from the Jump Desktop app. It has a different icon and different functionality: Jump Desktop Connect allows remote access TO the Mac it is installed on where as Jump Desktop lets you connect FROM a Mac to other machines.