Ah, good find! It appears that the Big Sur documentation notes this right up top, whereas for the earlier OS versions it's relegated to a note at the bottom.
Either way, I'm not sure this counts as a warning! It rather reminds me of:
As you are probably aware, plans for the development of the outlying regions of the galaxy invoke the building of a hyperspace express route through your star system. And your planet is one of those scheduled for demolition.
(Shouts of terror emit around the globe.)
There's no point acting all surprised about it; the plans and demolition orders have been on display at your local planning department in Alpha Centauri for fifty of your earth years. If you can't be bothered to take an interest in local affairs, that's your own lookout.
Most people setting up their keychain without iCloud will never see this, and there's not even an explicit mention here of the issue with backups (though one could sort of infer that).