That means that you have iCloud Photo Library (iCloud Photos in iOS 12) turned on again. Go to Settings>your name>iCoud>Photos and see if that option is turned on.
The message means that if you delete the photo, since you have iCloud Photo Library turned on, that photo will be deleted from any other device that is signed into your iCloud account with iCloud Photo Library turned on. So, in this situation, if you didn't have it turned on for any other device or computer, it would get deleted from your iPhone and from the iCloud.com Photos app.
As with any other deleted photo, it would be in the Recently Deleted album for 30 days.
Best,
GB