When changing the currency of an account with transactions in it, GnuCash will perform a mass-conversion. Given that this could affect many thousands of transactions, this warrants a confirmation, to make sure the user understands the consequences of this action.

Example: consider a Cash account in UAH and an expense account in USD, with lots of transactions recorded from Cash to Expense. Now change the currency of the Expense account to UAH: GnuCash will convert all the USD splits to UAH, which is a lossy and irreversible operation because it erases the exchange rate that was applied to each transaction.

Also, changing the Expense account back from UAH to USD will change the currency on every split without changing the warning, so every transaction will have the exchange rate of 1. This needs to be explained in the warning too.

Mailing list thread about this: http://lists.gnucash.org/pipermail/gnucash-user/2015-June/060740.html