The "rollback" means that (if you say you want it) any changes Commander made to the game's files when it launched SH3 for you will be undone until you launch it again via Commander.
It's almost always the safest thing to do, especially if you are likely to make changes to the game in between sessions by enabling or disabling some mods or manually tinkering with the files.
You can also select "Auto Rollback" in Commander's options, and it will do it automatically every time you exit the game without the popup asking you about it.
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