That note is there to make sure that you don't have people register for the forum that are not registered in CB.
This is not a problem if you want that setup. The note mainly remains just as a warning. In the original versions of the plugin it used the same user_id for phpBB as CB was using. In that older scenario if a user registered in phpBB without registering in CB the user_id numbers would conflict... This is not an issue anymore. We now tage the CB profile with the phpbb ID that matches the next empty spot in the phpbb_users table.
Unfortuneately, if you want to turn registration off you either have to hack phpBB's core files (at least 1 anyway) or install a mod to do that for you...
If you manually want to hack their registration form to redirect to the CB registration follow these steps:
1) Open phpBB's profile.php file (located in their main directory)
2) In their file (do a search for "register" without the quotes)... near line 100 you should see