If you are offended by it... uhm... I dont know, take a walk?
This user has become active recently and doesn't understand anything about how the forum currently runs, and doesnt intend to learn. Rather just get pissy about everything. I think it would be better for him to simply leave the forum and don't come back.
Though, to perhaps try and explain it, let's say that the user 'Hello' is running an auction that you win. Then, a member called 'HeIlo' messages you and asks you to send them the Bitcoin to an address. You send it to them and wait for the item you won.
Congratulations. Because you didn't get a warning to check the user that you're dealing with, you may not have, and as a result you just got scammed. That is what the notification is for.