Correct as @igniteyourfeelings mentioned, you can upgrade your community the upgrade your theme using the tool above. Your community may be encounter errors which may bring it offline if the template changes are substantial, thus you may wish to set an unmodified theme while you work (or use a test instance). It will not, by itself, cause any harm to data, etc...
The warning there is simply checking to see if it is modified (we have no way of telling pre-upgrade if it will break or not). If you modify templates, it is completely on the owner to ensure a smooth upgrade process, hence the warning on any change to the template 🙂 .