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It's just a disclaimer in case it doesn't actually work or you sell your phone on and it somehow retains some data.
If you want to be doubly sure, you can run an RUU which wipes everything (even the OS itself) and rewrites it too.
RUU stands for ROM Upgrade Utility. It's a windows program that basically wipes the handset clean and installs everything from scratch.
I can't remember if it wipes the part of the memory classed as the SD Card, but I'm relatively sure it does.