1) The message is just for your first segement. You second segment could also be overbooked, but the computers are programmed to spit out this message based on your first segement

2) This is a common message. Many posters report that when they get to the gate, the agent doesn't even take a potential list of volunteers. Based on my experience and other posts, I'd estimate 30% of flights with this message (at kioks or OLCI) will the gate agent even start a list

3) Delta will not pre-bump you to another flight. So, to answer your question, you don't need to call Delta.

4) If there is a later flight that makes your same connection, this might be a good VDC situation for you. Most agents wouldn't do this, but there is a small chance they will say we are getting you to your final destination as planned so you get $0 if you volunteer. I would just let them know this is still an inconvience and want to get compensation (I bring this up, but as I'm writing it I think there is a low chance of an agent doing this).

Good luck