Take it seriously. The risk is silently incorrect indexes, which is one of the worse failure modes a database has.
The mechanism: collation determines sort order for text. The database does not implement that itself — it delegates to the operating system's locale library. When you build an index on a text column, the entries are ordered according to the collation rules in force at the time.
If the library is later upgraded and its rules change — even for a small number of character sequences — then the stored index order no longer matches what the database now believes the order to be. The index is not corrupted in any way a check would notice. It is simply sorted by rules nobody uses any more.
The consequence is queries that miss rows. A lookup descends the index using the new rules, takes a branch that would have been right today, and does not find an entry filed under the old rules. No error, no warning, just an absent row.
That is why the warning exists and why it recommends rebuilding rather than suggesting it.