Why did I get a Reservation letter as the claimant?

I made a claim with a construction workers insurance company and they mentioned they were planning to deny my claim. However, I have not received a denial letter and I have a certified letter sitting at the post office right now. I have done a little research and I am wondering why I am getting a reservation of rights letter (which I am assuming it is) being the claimant? I am not the insured so why would I get this letter?

Is this good or bad for me as the claimant?

What happens if I do not go pick up this letter?