This message occurs when you launch the Holidays Explorer, if any of the recurring holidays in your shared database needs to be re-generated. Note that this message could also be triggered by a change in the properties of one of the Holidays Sets, since the Symbol Font and Muslim Calendar of the Holidays Set are used by all its holidays.
Depending on what you want to do in the Holidays Explorer, the modified holidays may not affect you, but if they do then the holidays displayed in the Holidays Explorer could be wrong (different from the latest rules that you saved) if you click NO.
You really should address this message before you send the exported data for proof-reading. You should always say YES unless you are in a rush and are absolutely sure that the holidays you are about to export have not been modified since the last time you re-generated holidays.