It is not really an issue as long as you heed the warning! Because of changes in scikit-learn's algorithms between versions, you will not get reliable results using a classifier with a different version to run the classification, in fact it will not let you run it. For an example of the error you will encounter should you try to use a classifier trained by a different version of scikit-learn, see this recent post.
As long as you are using 2021.2 you should have no issues. If you change to a newer release of QIIME 2, you will have to train a new classifier, as 2021.4 uses scikit-learn 0.24.1. You can also run into issues if you install something in your environment that upgrades scikit-learn. This generally is not an issue if you don't try to manually install anything, but it is something to keep in mind.