The warning refers to copy-protected data, which does include PSX and PS2 save data. The full list of restricted data (i.e., stuff that will not be backed up) courtesy of Sony's knowledgebase article on the utility:
The following copy-protected content will not be transferable:
- Digital Right Management (DRM)
- PlayStation® format software game data
- PlayStation®2 format software game data
- PlayStation®3 format software Game Save Data flagged as unexportable
- Trophy data, trophy data is saved onto your Sony Entertainment Network account
Note these restrictions don't seem to apply if you're just replacing the hard drive (something I do often and haven't had problems with PSX saves or unexportable PS3 games): it only seems to apply when replacing the entire console.
Another knowledgebase article enumerates what types of data can be exported:
Some types of backed up data can be restored on another PS3™ system. The types of data that can be restored on another system are as follows:
- Saved data from PlayStation®3 format software*1
- Saved data for minigames ("minis")
- Saved data for PSP™ Game software
- Image files under (Photo)
- Music files under (Music)*2
- Video files under (Video)*2
- Bookmarks added under (Internet Browser)
- Terms that were added using (Settings) > (System Settings) > [Add/Edit Term], or predictive terms that were "learned" by the on-screen keyboard
*1 Copy-protected data cannot be restored. Also, saved data that has been restored may not be usable in some games.
*2 Does not include copyright-protected data.