Nothing bad will happen if you pay heed to the message. I assume it is due to anticipation of Weserubung, the invasion of Norway [and Denmark.] Hitler ordered Doenitz to send U-boats to participate, to sink British and French naval forces opposing the landings.
Near the end of the war in 1945 I was sailing in a Type VII C and got orders to take secret cargo to Argentina. No way for me to make it, so I ignored the orders. Nothing bad happens in-game if you ignore the orders.
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