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"Your screen is being observed" appears on the macOS lock screen whenever an app is using screen recording. This includes lecture capture software such as Kaltura, Camtasia, and collaboration software like Webex or MS Teams. It also appears for apps you might not think of as recording the screen such as DisplayLink, a driver for docking stations. The DisplayLink driver triggers that message because it observes the contents of the built in display to offer the option of mirroring to an external one.
You can test for this when you have the laptops built in display open and an external monitor connected through the docking station. Look for the interlinked display icon on the menubar ( 
). Click it and quit the DisplayLink Manager, then lock your screen again. The message should go away.
There is no way to suppress the message while screen recording is in use.
