It means that if you have one of the SFDC campaign flow steps in your smart campaigns within that program these steps will be skipped.
If you have initiated the Salesforce campaign sync then the program is tied to that particular SFDC campaign. Members are automatically synced Marketo <--> SFDC and the member status in SFDC will match the progression status in Marketo.
Because you have chosen your SFDC campaign at the program level this warning is just telling you that the is no point in including the Add to SFDC campaign or change status in SFDC campaign flow steps in your smart campaigns with this program.
Let me know if that doesn't make sense.