This is just a warning that if you come off a characters path, then there is not a choice for you to go back on the characters path.

Enable the walkthrough in the option and hit all the ones with a '+' if you want to stay on a character path. As soon as you hit an option with a '-' you will come off that path.

I have added a "path" option on the quick menu that will allow you to enable/disable character paths as you wish.