You get this when creating a new project. You may have clicked the "don't ask me again" checkbox long ago so you won't see it.
Only if you're linking, and only if you're adding entire folders. I never add entire folders, so I never get that prompt.
And given what I'm doing with jAlbum, no "don't ask me again" setting lasts for long. I'm routinely running beta versions (and sometimes alpha versions), deleting default settings, and so on. I'm not a typical user, by any stretch of the imagination.
And in my case, all my photos are sorted in to subfolders then I make a web album using Jalbum, so there will 100% always be folders. My largest gallery has around 150,000 images -- Jalbum can handle that. But I've gone through many that couldn't. I started with batch files, a java program I wrote, and other tools trying to glue stuff together back in those early days.
The downside of using a program that "just works" instead of rolling your own is that you can't fix it when it doesn't "just work".
But, I have a solution, even if the on-screen stuff is wrong, and that's good enough for now.