Every website in the world will know your IP address, because it needs it to send a reply to you. The exception is when you use a VPN server, where the VPN server knows your IP address, and the website knows the VPN servers IP address. So any website can easily show a page with your IP address and some nasty message on your screen. That is absolutely normal.
Now with their sick claim of you being caught watching child porn: If you never did this, then they are obviously lying. If you did it, then this website has no chance of finding this merely by you clicking some link, so they are lying as well.
And no, they are not reporting you anywhere, because they don’t actually have the slightest clue what you are doing on your computer. If they did know, that would be proof that have broken a few laws.
PS. If you get a call from Microsoft, how do you know if it’s Microsoft or a scammer? Easy. It’s a scammer. Microsoft doesn’t call you. What if your bank’s fraud department calls you? It’s a scam. Your bank’s fraud department doesn’t call you. But what if someone is emptying your bank account and your bank tells you to open a new account and move all your money into it to keep it safe? It’s a scam. Your bank can lock your bank account down at any time without your help. And they wouldn’t ask you to move your money. If they thought that’s needed for your protection then they can move your money into a new account without your help.