A generator produces a very noisy sine wave. This is true on the grid as well. Most quality electronics have a power supply that conditions the line power avoiding the need for such devices.
However in that one case where the manufacturer didn't properly filter, problems can arise!
The label "protect yourself " protects the generator manufacturer from lawsuits.
To filter the output from my inverter. The final filter consists of a transformer, and a capacitor sized to smooth out the carrier wave frequency produced by the PWM modulated sine wave. The capacitor is optional in the design, but carries the same form of warning!!!
I applaud the manufacturer for posting the label on their product, but there are many here and across the world that use portable generators without line conditioning for their consumer products. My interpretation is if you are using a life sustaining device use a conditioner.
Your appliances may use less power when a filter/line conditioner is used.