No, that's not what that means (it occurs to me that the wording on that is less than ideal). It means that the FullDBImport/Export tool that is pulling Unity subscriber data out of the olde model and will import that info back into the new 3.x model will not include messages.
If you're attaching to the same Exchange mailboxes during the import on 3.x all your messages will be there and will work fine.
the short story is if you're upgrading a 2.x stand alone system to a 3.x stand alone system, it's up to you to get your messages out of Exchange on your own, the import/export tools wont do it for you.