KNOX and Lost your Warranty
There is no harm to your phone except that sadly you've triggered the KNOX flag and now your phone is deamed NOT UNDER WARRANTY.
Now that you are already there!!!
My advice is feel Adventurous and Try yourself some Custom Roms and Stick to the one you like best!
Once you go with AOKP you won't go back to TouchWiz
Regarding the Notice....It's few seconda and your device will boot back to normal.
Had it for some time now and it's become and normal thingy for me.