In the case where you are just wanting to to change your offline practice terrain, that message would be confusing and disconcerting and doesn't apply in that case. You are out of the practice arena and not in a Custom Arena there is nothing to reboot.
They might think that will reboot the Melee arena.
It would be interesting to gather analytics to see how many people click on that over and over thinking they are shutting down the Melee for fun.
