According to FileZilla's official support message:
FileZilla doesn't use the OS certificate store, instead it uses "the TOFU model (TOFU = Trust On First Use)". I quote the message below:
#2 Post by boco » 2017-06-21 21:17
It is neither an error nor a problem. FileZilla just doesn't use the OS certificate store (which might become compromised), instead, it follows the TOFU model (TOFU = Trust On First Use).
That means, at least upon first contact to every new server, you will get that popup, to carefully check and verify the certificate. If you trust it, click the button (+check the box for permanent trust). With permanent trust, you won't be bothered again for that exact certificate until it expires.
So it is not a problem in general, you can ignore it unless you have very high security requirement. If so, you can use DriveHQ FileManager client software or use other FTP client. ( You don't really need to verify certificate fingerprint as it is a public certificate verified by Certificate Authority; web browsers and other FTP client programs don't usually do that. You just need to verify the certificate common name matching the FTP server name ).
BTW, on my Windows 10 with the latest version FileZilla, I don't see this certificate dialog. Do you use the latest version FileZilla on Windows 10?