This is not warning, but required action because LR Classic work with new/updated format of catalogs. And AFAIK you can't avoid this action and skip the step. You can continue to use LR 2015 with old format of catalog. But if you need LR Classic you must migrate the catalog.
And you can migrate only once because after the migration the catalog will be in new format you do not need/can't be migrated. To play with this migration you can create new catalog with few images inside and do the test.
From what I remember during last convert I did convertor actually create new catalog and copy there the data from original catalog. But I am not 100% sure about this.