There isn't a problem if you use it daily driving. My son-in-law is an engineer with Stellantis and was telling me that it has to do with federal regulations on noise levels, so the "warning" is done.
Just like the fact that your settings always default to factory when you turn the car off. All has to do with regulations and liability concerns. If the car sets back to factory, and you change it after starting, then it is all on you. But if Ford allowed you to leave those settings in place they could be held liable (things like traction control for example - if Ford allowed you to leave it set to off, and you had an accident that could have been prevented by TCS, then Ford could face a liability claim)
yeah its because the track mode goes upwards of 100db in noise when most places have regulations relegating max to around 80-90db so they have to label it "track use only" as a CYA for when someone gets a ticket for redlining their GT at 3am in the middle of California.