The first question says that this is the first time you've ever tried to ssh into the git server. It's asking for permission to store the server's host information into your ./ssh/known_hosts file. That's fine and it will never ask that again unless you erase the entry in your .ssh/known_hosts file.
The "permission denied" error means that you have not supplied a valid SSH public key for that host/user OR that you aren't configured for it to prompt for a userid/password. That could be because of configuration settings on the SSH server.
Since this is github, I would expect it wants a userID/password, unless maybe this is a private account with a public key. On my system, popups prompt for userid and password, though.
"privilege" comes from the Latin words for "private" and "law" (legal) and dates to feudal times. To "claim privilege" meant that you were above the laws that applied to the common people.