What is the meaning of "client selection doesn't exclude any records..."

The rest of the message states, "It will be automatically removed from the selected filters unless you edit it. Do you want to edit the filter again?"   I have seen this message pop up several times. What does it mean?  What does it matter if I don't exclude any records if I am checking off only the client names that I want. And what should I answer when it asks if I want to edit the filter again?

Thanks so much for the help on this site. Everyone has been awesome.