The Windscribe extension will send you system notifications whenever it connects or disconnects. These are useful in cases where the connection suddenly drops for whatever reason, you'll be notified immediately so you can reconnect or change locations.
If you don't want to get notifications from the Windscribe extension or if they are disabled but you want them turned on, you can toggle this option by opening the extension, going to Preferences > General and toggling the Notifications option.