As the warning implies, Desktop/Favorites/Programs Menu/Roaming AppData are highly active profile folders that put more load on your file server (system) and network. Highly active means that those folders are queried a lot by the OS and applications. If you have a lot of users for which you configure redirection for these folders it may exhaust file server/network and therefore may result in performance degradation.
Does this answer your question?
UEM is just kind enough to warn you about the implications. UEM redirects folders the same way Microsoft does it with a Folder Redirection GPO, but they never warn you what impact the redirection might have.