A feature introduced with iOS 9 referred to as app thinning or app slicing allows each device to download only the code and resources needed by that device, resulting in smaller downloads and better use of storage on the device. As a consequence the device no longer holds the universal version of the app that could be installed on any device so transferring apps is no longer supported. Hopefully Apple will make some changes to the way this works, but in the meantime you can download past purchases from iTunesand/or enable automatic downloads of app purchases to make sure that iTunes always has the apps that you want on your device. As long as you make sure all apps are present and updated in iTunes before attempting a restore there should be no loss of data. I can't confirm, but it seems a recent update means that all data is restored and apps that are not in the library are queued for download from the iTunes Store over Wi-Fi, in a similar fashion to the way restore from iCloud works.
If you've already used Transfer Purchases then all of your media should have been copied across. You can download any apps that are in your purchase history and are still in the store. If you have something that since been removed, e.g. Flappy Bird, then you have lost the chance to make a security copy.
Interesting that it says you would have to purchase them again. Audiobooks and certain video items are excluded from repeat download but apps should be covered and anything other purchased content ought to transfer. I would backup your device and make use of File > Devices > Transfer Purchases from Device. Use Alt or Ctrl+B to reveal the menu bar if hidden. If you have content from more than one Apple ID your computer should be authorized for each of them. If there is any non purchased content you want to recover before you wipe the device see Recover your iTunes library from your iPod or iOS device.
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