@strawberryfieldsforever
Well DD mode copies the image byte by byte exactly while ISO doesn't the basic difference is that ISO mode copies in it a way that windows can read the usb device while in DD the OS won't be able to properly read the USB device as the filesystem on the USB (cause we directly cloned the image) isn't supported by Windows.
@mur2501 @strawberryfieldsforever Yes, this is a good summary of what's going on.
The reason it warns you is that unlike normal, it will delete anything on your target media (the bootable thumbdrive you are making) and Windows won't be able to read it.
As long as you don't care about the previous contents of your thumbdrive, then there's no problem. You can also reformat it if you want Windows to read it again later.