The jpeg specification does not support 16 bit depth, layers of any kind, transparency or alpha channels. If you're starting with a file that has any of these properties, they will have to be stripped out.
There is also the fact that jpeg is a destructive format, and every resave will degrade the file slightly. This degradation is cumulative and non-reversible.
Now, I can't recall ever seeing that message, but maybe I just clicked "don't show again" as it's a fairly straightforward and obvious message. Or maybe it's new. Either way, there is the possibility that you may overwrite the original if you started with a jpeg, so just something to be aware of if you're not already.