This warning is telling you that the manually synced photos will be removed from your iPhone - photos you have synced from a computer, either with iTunes from a Windows computer or from a Mac by syncing with the Finder. Do you have a Windows computer and have synced photos using iTunes on a computer?
These synced photos are shown on your iPhone in albums in a special section "From my Mac". You can test, if a photo has been synced this way by trying to delete it on your iPhone. For manually synced photos it is not possible to delete them directly on your iPhone.
Before you turn on iCloud Photos on iPhone, make sure, that you have copies of all synced photos on a computer. These will definitely be deleted from the iPhone, when you enable iCloud Photos.
But the photos that have been saved to your iPhone by the camera or from other apps on your iPhone, or photos imported using a camera connection kit will remin. Only the synced photos in the albums "From my Mac" are in danger.