Key programmed at the dealership. They left a computer thing plugged in.

The warning likely means that the tool is not to be used while driving, similar to you shouldn't be texting and driving. It's not going to hurt your car, but the user could hurt him/herself if they try and drive and use the tool at the same time. Right now some tech is going to have a hard time getting to sleep because of that tool missing. Pleae make sure they get it back ASAP.