That seems to be the right description for that "warning". And I guess that a link to the User Settings should be added in that warning, something like this:

Notes below your chosen nesting depth have not been shown here. To alter this, adapt your User Settings.

To finish it off, a named anchor could be added, like this:
...adapt your <a href="/index.pl?node=1072#nestingdepth">Note Configuration</a>.

In that case, an anchor should be added to the User Settings:
<a name="nestingdepth">Note Configuration</a>

That's beyond my reach though.