This is an alert that Microsoft is including web based mail users IP address information in the header of messages. Normally web based mail providers proxy this information (Gmail, Yahoo, etc.) as not to expose the end users information. However recent reviews of news media reports and internal testing has shown that online mail products are in fact including the source IP information in emails sent from the platform.
For more information please read the following: Article from Betanews
Your Outloook admin can change the behaviour of your mail by creating a rule to disable this activity.