What does the shield over a WiFi network mean?

Windows 10 has a new icon in the networking flyout:

It’s a WiFi network with a shield and an exclamation point. What does this mean?

It means that the network is not secure.

What does it mean for the network not to be secure?

It’s the same as “Open”. The network does not require a password and consequently does not use encryption. Anybody can snoop on your network activity unless you take your own encryption measures (such as using https).