It means the PCB, the board the game runs on, uses some sort of protection that MAME hasn't fully emulated.
Different games use different types of protection in different ways.
They are warning you there may be bugs, there may be glitches, it may even crash. Some people notice the slightest bug, some don't. Whether you notice or not they are warning you, don't complain if it doesn't work right.
MAME link to why and how games are copy-protected
http://www.mame.net/mamefaq.html#m02