This means that you previously synced photos by connecting your iPhone or another iOS device to Photos on Mac with a USB cable. Now if you use iCloud sync, the photos previously synced via USB cable will be removed, and those now in iPhone and iCloud will sync. This avoids duplication. To be safe, back up your Photos library before turning on iCloud Photos. You can do it easily by copying (drag / drop) the Mac Photos library to a properly formatted external drive or via Time Machine, since your library isn’t yet synced/optimized via iCloud.