The alert is mostly a recommendation, a guideline that should be "good enough" for most people. If you don't leave enough memory free to the host OS it will have to start swapping and perform slowly. This might in turn, paradoxically slow down your virtual machine, since it needs resources from the host OS as well.
There's really no harm, per se, in ignoring the warning, feel free to experiment. If, while using (mostly) the VM, you feel your system get choppy and unresponsive, and the guest OS still has enough memory free, consider giving the virtual machine less RAM.