Either click Manter ativado or Desativar. The prompt will not come again.
For notifications in general:
Windows always brings newly opened windows into focus. This behavior is unrelated to the software itself. TeamSpeak 5 does not use new windows for notifications - so that might be a solution. Another would be to use an operating system that is actually configurable. Also in my testing, this popup did not steal focus. However, you might have luck with using some Windows manipulating magic, like GitHub - bladeSk/StayFocused: Prevents focus stealing on Windows.