HSBC did this with me once...
It seems they are introducing a chip and pin style thing for the web, as anyone who steals your card can use those details on the web so adding a pin number increases security. As it was a secure natwest window, I'd say that they've noticed you're about to use your card and would like you to create a pin, I'd say it's pretty safe, but if you want to ring them up and make sure, to give yourself peace of mind then do that