I have custom rom installed but I have a problem

Firstly, let me say this: You can ignore it and go on since it will not actually delete anything (assuming you actually got a custom recovery installed)

The combination of Power + Volume Down when LG logo appears during boot will bring the screen you mention. It gives you this warning because that is what the stock recovery is meant to do. However, with custom recovery being installed, it will just boot into recovery mode. This is because the process of factory resetting is done by recovery of the phone.

For example, if you start factory reset on Settings, it will just pass your command to recovery, and recovery will get the job done. That button combination is there just in case you can't boot into system at all. But by default, what that does is also the same, calling recovery to duty.

However, if you want to boot into Download/bootloader or recovery modes without using those methods, you can use the Quick Boot app to get the job done with ease.