[Galaxy J 2016] Why pop-up message appear when inserting SD card on it?

If SD card had being inserted on device when booting the Galaxy J(2016) device, device checks for errors to prepare and protect your device securely. This is normal concept of Google applied on Android M OS.

If you tap ‘EXPLORE’, you can use the SD card directly and you can stop to use SD card when tapping EJECT.

After tapping EJECT if you would like to use SD card again, please insert SD card on device

once again after detaching SD card.