Why do I receive a pop up with "Copy Protected Content" when using HDMI out?

Some applications and devices have HDCP (High-bandwidth Digital Content Protection) build in.

High-bandwidth Digital Content Protection (HDCP) is a form of digital copy protection developed by Intel to prevent copying of digital audio and video content as it travels across connections.

So when you are using some applications or devices like Netflix, ClickShare, Chromecast ect. you can simply not use the HDMI out because they are protected by this protocol.