Maybe you don't fully understand what render means.
A transition requires that FCP X calculates these frames to give you the result you want (in this case by gradually changing the opacity of the two clips and blending them together). Rendering means making this calculation once and store the result, so these pixels can be played back more easily. Without rendering FCP X has to calculate and recaculate every frame every time you play that transition.
Depending on your mac, the media and drive, this may well playback without hiccups even without rendering. You only need to render if you can't play it well otherwise. Noone is forcing you to render. The orange bar is just *informing you* that these frames are not playing from a clip or render file, but they need to be calculated every time, as I said before.
Edit: and once again, Tom beat me to it :-)