For the spirit of immersion, you should listen to your messages... Unless of course you plan on being a rogue u-boat commander. In which case Donitz will personally shoot you in the head when you RTB.
But to answer your question, no. None of the radio messages really make a difference. Britain, France, and other nations flip and flop sides at different times throughout the war, but there's nothing really stoping you from sinking their ships... Unless you dislike negative renown...
The radio chatter is fun and immersive. Just use it to pretend that you are really out at sea, and the time is WWII... You and your tiny little boat, against all of the mighty Allied superpowers.