As for mail notifications, how do they get access to your mail address and send you messages regarding your p2p trades, I would really want to understand how this scam process works and their purpose.
I no know how the scam dey work too, and i no be KuCoin user, so i did not receive this warning. From wetin OP post, KuCoin been they talk about "escrow scam" for that message, so me i dey reason how the scammer go take convince one party (either buyer or seller) to send dem their funds impersonating as an escrow. I no know how person go fall for this, dem dey handle dispute in the exchange na, and the exchange dey act as escrow for every trade, because na dem dey lock funds during the trading process.