A legal hold applies to corporations, not individuals. If this was in the context of a business, I wouldn’t mind at all. But business have the corporate shield for exactly these reasons.
Whatever activity put you on their radar, they have no idea who you work for or if you were on the clock at the time. There's no penalty to them sending this to you and having it not apply. But if they don't send it to the right places, it hurts them later.
(I'm not a lawyer, you should talk to one, but as long as you don't go deleting stuff, in my non-lawyer experience, you might not need to talk to one yet.)