(Jira won't let me change the issue type to anything other than "Bug," so I'm sorry about that.)

I find this message confusing: "Your first session will not be saved if you continue." 

What, exactly, is the "session" saving? What is not going to be saved? What will this mean to my gameplay? 

The issue is not that I need an explanation, but that the error message should NOT need one. It should be reasonably clear from the text of the message what risk I am taking and how important this is. It seems needlessly scary.