MetaMask gives this warning because signing a message can be dangerous if you don't know what you're signing. To explain why, we have to first explain what signing a message means.

What is Signing?

Signing is the act of someone “signing” data with their private key that anyone can then validate came from that person. The message or data signed can't be changed after signing it, although a signed order can be cancelled by sending another transaction to the blockchain.  

Why is it dangerous?

Since the message doesn't give you a "readback" of the information you're signing in a form most end-users can read, an unsolicited message you're prompted to sign could be malicious in nature. On Radar, you are only prompted to sign a message with the order parameters you've selected in order for it to be placed on our orderbook. In a future version, MetaMask will give more information on the message you're signing. 

What is Radar Relay having me sign?

Essentially you are signing a "contract" that states you will trade an amount of tokens for a certain price, with a certain expiration.