You need to change the privacy setting to one of the other options (which you have to do for WeConnect and the various driving data and connectivity options to work anyway)
It's basically a warning to say your car is not sending any data to the VW servers and that things like the emergency breakdown call function etc won't work (which relies on the car sending its location, etc)
I have mine set to Share Location (I think that is the wording - it's the least restricted option) and don't see any warning message.
Yeah think that is right, tho can't remember if the pop-up shows every time you start the car - it just reminds you what setting you have. The pop-up disappears after a few seconds without user intervention