Portable TEMP Directory - If you create a directory called TempForPortableApps in the same directory as Start.exe ('next to' the PortableApps and Documents directories), the platform will use that as the TEMP directory for all apps it launches. Note that any local apps launched from the platform or its apps will also use this as TEMP, so use with caution!
what is the reason for caution? is it a drive/disk space issue?
Doesn't seem logical for it to be a security issue unless the warning is about "local apps wot aren't from us" which is surely presumed
perhaps it is just a warning to say "we're not exactly sure what might happen".
There are lots of reasons for caution. Some local apps communicate with others via TEMP and monitor things there for changes. But if you start one local APP before the platform and one from an app in the platform (say a file explorer that you browse to and run an EXE), those two local apps will be using different TEMP directories. If you run IE from one of your portable apps, as some apps may attempt to run it directly, it'll create a full new set of TEMP files and cookies on your flash drive and start to fill it up fast. So, there are multiple things to be cautious about.
Sometimes, the impossible can become possible, if you're awesome!