This warning is only for people who are:
If you are not upgrading from Craft 2, or your site does not allow anonymous rating, then this warning is not for you.
Between Craft 2 and Craft 3, there was a significant internal change within Craft which changes how cookies are stored. Specifically, it changed how cookies were named, and how their values were encoded.
It means that your anonymous voters will lose their existing vote history when you upgrade to Craft 3. Since their vote history was stored in a cookie, and those cookies are irretrievable, their vote histories are essentially gone.
To be fair, anonymous rating was never all that secure, which is why it was always highly discouraged.
A valiant effort was made to salvage existing vote history cookies. Unfortunately, those efforts were dashed by the truly complex nature of the Craft 2 cookie encoding mechanism.
For full details, see this Stack Exchange post...