Like most of the messages, that one is there mainly for immersion. That said, I consider it fun to try to follow them - no passenger ships, no French shipping until notified, no warships, then only warships. It must have been confusing for them at that early stage, and I like to pretend I'm also confused (not hard in my case).
As for stopping and boarding, the game doesn't allow that, so I surface next to them (but not too close in case they're armed) and cruise with them for awhile, then sink them. And take a screenshot so I can say "See? I'm stopping this ship and checking his papers before I sink him."
It's all part of the fun for me, and none of it is required.
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“Never do anything you can't take back.”
—Rocky Russo
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