That warning is just routine. It is to remind you that if you wanted to have EVERY copy encrypted, that is NOT what you are in the process of doing.
It makes some sense if your data are sensitive to encrypt the original files, so that if your Mac is stolen and the thief manages to break in, your data will be read as gibberish without the password.
It is questionable whether backup copies (which are presumably NOT subject to as large a threat form theft) should be encrypted. I would argus that anything that adds complexity (like encryption) decreases the likelihood of being able to rescue your data off the backup drive if there are any additional problems.
My attitude is that anything sensitive like credit card numbers should not be stored on your computer at all. That means when I pay bills, I may have to type credit card numbers a few times.