This is alarming because it could actually mean that you're connecting to a different server without knowing it. If this new server is malicious then it would be able to view all data sent to and from your connection, which could be used by whoever set up the server. This is called a man-in-the-middle attack. This scenario is exactly what the "WARNING: REMOTE HOST IDENTIfiCATION HAS CHANGED!" message is trying to warn you about.