The on-access scanner displays a desktop alert whenever the on-demand scanner moves a file to a specified 'infected files' folder (i.e. a file/folder you have set-up specifically to store infected items). This is despite an on-access alert message: 'Access to the infected file denied'.
If the on-access scanner has also been configured to move infected files to your specified 'infected files' folder (which differs from the on-demand setting), then the on-access scanner grabs them from the on-demand folder and puts them in your specified 'infected files' folder.
Sophos product and version
Sophos Anti-Virus for Mac OS X
What to do
This behaviour is by design. However, if you specifically wish not to see it, configure the on-access scanning exclusion list to specifically exclude the on-demand folder where infected items are stored. Details of how to do this are in the Sophos Anti-Virus for Mac OS X online Help