Say you left a comment on your best friend's journal in 2005. Bestie has since imported their journal to DW. If you don't claim your LJ OpenID with your DW account, you would need to log into DW using your LJ account in order to manage that comment, which you can't do anymore once you delete your account. Claiming your LJ OpenID with your DW account means that comment in Bestie's journal will look like it was made by naomikritzer instead of naomikritzer.livejournal.com, you'll get emailed notifications if someone replies to it, and you'll be able to edit it or delete it without having to log into your LJ account and then use that LJ account to log into DW (which you can't do anymore once your LJ account is deleted).

The warning is just making sure you really really want us to update every imported comment/entry that looks like it comes from naomikritzer.livejournal.com to look like it comes from naomikritzer instead! As the message says, there's no way we can undo it, so we just triple-check.

If you want a better example: check out my initial announcement that DW was going to be a thing. That entry was originally posted to LJ, and imported to DW. The first comment thread underneath the post, those comments belong to zorkian and synecdochic: both Mark and I claimed our LJ OpenID accounts, so even though we originally made those comments on LJ, they look like they were made by our DW accounts (and we can now manage them with our DW accounts). The second comment thread was started by svmadelyn, who hasn't claimed their LJ OpenID with their DW account, so it still displays as svmadelyn.livejournal.com and they would have to first log into their LJ account, then use that LJ account to log into DW, in order to manage the comment.