This is just a typical Steam cloud service warning. You'd have to take that up with them if you have questions about how it works, since this doesn't have anything to do with Cogmind in particular--Valve operates that. (Note this is referring to your user files, the ones that it keeps a copy of on the cloud if you have that option enabled, not your installation files.)
Steam cloud is honestly sometimes unreliable, and can even delete your user files if it gets confused (which it's possibly warning about here). Fortunately Cogmind also keeps local backups just in case, but you now might want to make sure you still have your gallery/achievements/etc in your Cogmind installation, in case Steam screwed something up.
