What does this message mean in the Web widget?

Hi Olav, 
You mention that you get this 'sometimes',
It would be interesting to know if this is behaving differently when accessing the same page, or of it happens on particular webpages.

As Rickard says, a webpage could actively refuse to run in embedded mode, this is set in the page you are trying to open.

For reference:
The X-Frame-Options HTTP response header can be used to indicate whether a browser should be allowed to render a page in a <frame>, <iframe>, <embed> or <object>. Sites can use this to avoid click-jacking attacks, by ensuring that their content is not embedded into other sites.

Hi Richard,

In my own test, I see the message quickly come up and disappear when I simply connect to google.com

For the case I'm working with, I think it is related to security?
They want to connect to a webbrowser on a PLC, but there should come a popup to add username and password:

Can the Web Widget handle this login?

Could it be that you are connecting to a local Reporting Services server?

Reporting services has some configuration related to the site name if you want 127.0.0.1 to work without login.

You should be able to use http ://localhost/reports or (http://<servername>/reports) 
(Default Servername)

Edit: Forum seems to remove pars of links if used in post, I try to edit URL above to block this feature..

does any of those URL's make a difference?

And yes, it seems that the message is visible for the time it take to load the page successfully in my tests as well.

Could it be that you are connecting to a local Reporting Services server?

Reporting services has some configuration related to the site name if you want 127.0.0.1 to work without login.

You should be able to use http ://localhost/reports or (http://<servername>/reports) 
(Default Servername)

Edit: Forum seems to remove pars of links if used in post, I try to edit URL above to block this feature..

does any of those URL's make a difference?

And yes, it seems that the message is visible for the time it take to load the page successfully in my tests as well.

It is indeed a reporting services.
But I don't follow your other advice.

Do you mean: Login is not possible, you have to do without?

It seems like the webwidget have some issues with login prompt, but it is possible to have Reporting Services using Integrated security to access the reports, thus no login prompt, as long as the windows user is configured in portal security.

Since I do not know if it is a known issue with the webwiget and login prompts, I would explore if you can navigate to it without the need for prompted login.
Keep in mind that there is security settings for accessing the portal and report, and the security setting for the report datasource. You need to ensure connectivity to the server & reports on logged in windows user,

(Site Settings - Security, and Manage Folder - Security)

and in the report it self you can configure a specified user that has access to the database/datasource.

I'm mentioning this because it is good practice not to have the 'client user' assigned access to the database you want to get data from, If used in a larger context.