Storm in a teacup
The AV software did what they all should do, it detected something wrong and reported it.
We don't use Kaspersky, but the sophos product we use would do the exact same thing. They all seem to have some "cloud" component built in now; i.e stuff gets sent off elsewhere for various reasons.
The only difference between kaspersky and what we use is the location of the servers, and that's making an assumption. I don't actually *know* where all their kit is.