One reason of which I'm aware is that some countries base their transport taxes on your residency and/or citizenship. For example, all residents of Colombia must pay a Resident Exit Tax. If you book a AA trip that originates in Colombia (e.g one-way BOG-MIA) the Resident Exit Tax will be included in your fare. If, when you check in the GA has no reason to believe you are a resident of Colombia, they will refund you the tax on the spot.
If you are specifically asking about why they post the message and then don't provide further guidance, I can't help you with that one. :-)