Warning - Sync will delete Calendars

When the iPhone is connected to the computer and iTunes, I get this iTunes sync alert pictured below. I cancel the sync so that I don't lose calendar entries.

Why am I getting this warning and am I in danger of losing calendar entries?

I upgraded to iPhone5 and I use Microsoft Exchange and Outlook 2010.

I successfully activated the Exchange account to load my emails, contacts, tasks. I synced with iTunes the first time successfully.