with z-levels disabled, the reality bubble only contains things on the same vertical level as you. If climb stairs, any NPCs or monsters on the old level will stop existing until you return to that level.
with z-levels enabled, the reality bubble contains things above and below you for several levels. NPCs can follow you up and down stairs even if they aren’t immediately adjacent to the stairs when transition, but monsters can too.
z-levels are fairly stable at this point and that warning will probably get removed for 0.E.