This message occurs when you try to use holidays dates, if your list of recurring holidays 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.
The holidays exported could be wrong (different from the latest rules that you saved) if you click NO. While this can be acceptable for testing, 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.