Managing personal Outlook.com account settings, security, and privacy
In fact, it is not necessary to change your password since you did not enter your personal information in the links it contains, therefore your account is safe, in the same way here you can see how to keep your account safe:
https://support.microsoft.com/en-us/office/help...
This message they sent you is a message that scammers send randomly looking for any user to fall for their trap.
Greetings, have a nice day