That is very strange - I found no reference to it anywhere - even (more than) a few videos I checked didn't have that sticker or warning and the connector simply pulled out "normally" - I might suggest ordering a new cable for the screen.
The only thing I can think of is that whatever mechanism there is, exists under the yellow tape. Try pulling up the tape a bit to see if there is a catch of some sort there.
Other than it's weird, that's all I got.