Can someone explain what I should do?

So I got obsidian sync for one vault. Its for a large DnD game I have and i wanted to work on it from my PC and not just my laptop.

I made the remote vault and now I am a little confused on where to go next. Its giving me a warning about how the files are backed up on OneDrive and when I try to connect to the new vault (when i looked at the help page online it looked like they encouraged this so why do I get the warning). Its also giving me a pop up on in case of conflicts the most recent note will be saved. Is this bad. Can someone help me work out what I should do?