The new tab shows the type of penalty that is applied (if any) and whether it is effective site wide or just on particular pages.
It would appear that they are also notifying webmasters when it looks like there are, what it considers to be, unnatural links pointing to a site. In these cases it confirms that the inbound links themselves have been penalised rather than the site.
This is useful data from Google as in the past we just had to make our own assessment as to whether a penalty had been applied.
Worth noting that whatever penalty you have (if any) as probably been applied for some time. This just makes it visible to us.
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If you think your site has a problem talk to a Google penalty recovery expert today.