Honestly, for a local dev environment, it’s mostly just an annoyance. The main "risk" is that your timestamps for things like page edits, logs, or scheduled tasks will be an hour off. If you’re just building and testing layout or logic, you can safely ignore the warning.
However, if you're testing anything time-sensitive (like countdowns, expiring links, or publishing schedules), that one-hour gap will definitely trip you up.
Instead of changing your whole system, you can usually just sync them in your config.php as the error suggests:
PHP
$config->timezone = 'Europe/Paris';
Since it's just your local install, it won't affect your physical clock, and it makes the warning vanish. If the time difference bothers you while looking at the "Last Modified" dates, just keep it as is—nothing is going to "break" the database.