I am using Anaconda to work on a Jupyter notebook which displays \"Not Trusted\" (see on screenshot below).
What does it mean? Is it a problem? How can I solve
It is a security feature to disable the execution of arbitrary code from untrusted notebooks, without the user's consent. There is a doc page on that http://jupyter-notebook.readthedocs.io/en/latest/security.html
It won't prevent you from manually running the code, that's actually one way of "trusting" the outputs.