This alert was introduced in NSX 6.4.2 and can be misleading. It is displayed when a host that is prepared for NSX is added to any vDS, regardless of whether the new vDS is prepared for VXLAN or not.
If indeed the ESXi host is added to two distributed switches both of which are used by NSX for VXLAN, this may result in a datapath outage. The DLR functionality can break down because the host will have two VDR ports.