No, it doesn't tell you have to make a backup of the key file.
It tells you the Addon Manager has made a backup for you, in .REG file in your Home folder. Your Home folder is the folder with your name, which contains "My Documents", "My Pictures", etc...that's a folder that you normally have to backup anyway.
However, the .REG is not really needed to reinstall. Its one and only purpose is to save you from *manually* typing the Serial Number, if you lose the .REG file, you just have to type the Serial Number manually when reactivating on a new system, that's it.