When I select iCloud Photos on my iPad I get a message saying "Photos and Videos Synced from Finder will be Removed". Syncing photos and videos via Finder is not supported when iCloud Photos is turned on. photos and videos will be removed. Why?

There is no way to turn on iCloud Photos without photos that were synced from a computer (Finder or iTunes) being removed from the device where iCloud Photos is being turned on. However, the photos are not removed from the computer and (assuming you haven't deleted them from the computer) can be added back to the phone after you turn on iCloud Photos. You can do that in several ways, including 1) turn on iCloud Photos on the computer and sync the photos to iCloud and they will then sync to the iPad, or 2) Manually upload the photos to iCloud using an internet browser on the computer or 3) AirDrop the photos to the iPad from the computer. Also see: Get help with iCloud Photos - Apple Support

They are ones that you placed onto the iPhone by syncing them from a computer. I haven't had any of those in a long time so don't remember for sure but they may be in a separate From My Mac or PC album; if not they may match an album or albums on your computer. As a last resort, they will be ones that have no trash icon if you try to delete them on your iPhone (they can only be deleted by syncing with the computer again or by turning on iCloud Photos.