The idea is that you're subjecting yourself to a partitioning attack where your path selection is different than most other Tor clients and one of the anonymity benefits of the Tor Network is the disparate potential network locations. In a long enough time spectrum and a consistent enough black list configuration, it may be possible to correlate your circuit choices if the attacker is able to monitor the connections. The attack (where the client partitions herself resulting in a compromised), AFAIK, has never been shown but the warning is there because there is an unknown potential.
It would not be a simple attack to employ but you can imagine an extreme case where you've configured your client to only use the same 3 nodes for all circuit attempts. In this case if your exit node was monitored, they may be able to fingerprint your personal traffic patterns and daily habits. This would be much more difficult if you used the full Tor Network.
Or you could imagine a scenario where someone wanting to target you can see your activity on the exit, compromise your middle node by attacking it, and in-turn, uncover your entry. An attacker wouldn't take the effort to do this if the entire Tor Network was used because it would be statistically unlikely that you'd ever use that same set of circuits again.