I received a notification...
No. You received a pop up web page. It's simply a JavaScript modal with HTML code to mimic an "alert."
So there is an app on the store that tries to get customers through scamming people?
No. You can't stop people from trying to scam other people. This is where you have to realize what it is and move on through.
What is the best way to hurt these people?
Stop going to websites where this type of attack is commonplace (i.e. adult websites)
I’ve sent one message to apple support. I can’t report them on the App Store because I didn’t download the app. I can’t leave a review for the same reason.
The idea is for you to download the app and get you to give up tons of your personal data; you took the right step in not downloading it.
[What's] the best action against fake virus scammers
Don't engage with them. The less engagement, the more it fails. The more it fails, the more likley they will abandon that attack vector.