The connection and data being exchanged between you and the site isn’t encrypted. If someone was snooping your data or wifi, they could see what you were downloading and uploading between the site.
If it was a banking site or e-commerce site. I’d be more concerned. Technically, if you were typing in and submitting your password, someone could see it if they were snooping you, if the connection really were unsecured
This article has some details on it
https://www.namehero.com/blog/how-to-fix-the-this-site-cant-provide-a-secure-connection-error-six-solutions/