For some games (right now I think only 4e) we give you this warning when you transition between versions of the product or data files, because we don't have complete control over the data for the game. It's possible that the material in the D&D Compendium could change and make certain aspects of characters not work, and there wouldn't be anything we could do about it.
In this case (going from HL3.8 to 3.9) there shouldn't be any problems, so the warning is more of an informational message.