IT ...

For GDM, SSH and local login,

local login,
/etc/issue

SSH,
/etc/ssh/sshd_config

Banner /path/to/file

GDM,
/etc/gdm/custom.conf (RedHat ...)
/etc/gdm/gdm.conf-custom (Debian ...)

[greeter]
DefaultWelcome=false
Welcome=Message for local users
RemoteWelcome=Message for remote login users