Except the Developer Edition units that are identical in every way to the retail versions, but the unlock code is obtainable...
Most would expect that for those Moto freely gives away the bootloader unlock code for (on their web site), should be ok and not impacted. At least that is what we hope, otherwise Moto could have a bunch (maybe a small bunch) of angry users on their hand
But the thought about a warning or caution was directed toward those with ATT, Republic Wireless, or Verizon (non-dev) units who either purchased their bootloader unlock code from the China seller (or middle man) when it was available, or used Sunshine in order to bootloader unlock... since those devices were not ever intended to be bootloader unlocked.... There is uncertainty over this new "check box" in the rom. Moto could leave it out for those models (especially since ATT and RW use their own roms, VZW could be a little trickier since all XT1060's, dev and non-dev use the same rom), and if so, how does that impact any user who had a code and didn't use it yet, or unlocked, and might later want to relock for some reason.
For Sunshine, the concern would be due to changes in the phone's bootloader, TZ, or other parts that might be included in the update which might close that exploited vulnerability down. Think back to how some of the early Root/WPDisable processes were said to be "permanent" only to find they were NOT when the next OTA came out and "un-did" the hack.
So yeah, as you said...
It's an abundance of caution, I get it.