Wanted to try the fast rekordbox export from serato but what does this mean? im worried that information is lost
This is what MyTags are: Rekordbox My Tag – complete tutorial – DeeJay Plaza
The popup is because you have 5 Custom Tags categories, see the Custom Tags page in Lexicon.
Having 5 is not compatible with Rekordbox MyTags, where the max is 4. So move your Custom Tags around and delete one category so you have 4 categories and Lexicon can send them to your RB MyTags normally.