Could it be they mean to say that ALL the miles that you would have earned from the latest transaction that hasnt been sent to CO will be lost. which is the case with MOST other cards. Thats why i pay it in full EXCEPT for the amount of the annual fee and then stop using the card and when the new statement comes in I call up and say "Hey i cancelled this card, see the amount outstanding-UNPAID from the statement b4 is the exact amount of the fee". They then go and wipe it all off and close the acct, with me holding onto any pts/miles that came from the purchases.
its good to know when your statement closes and stop using it a week B4 to make sure it wont roll onto another period, then its hard to say you cancelled it etc.
never had a prob with the above system, Ive dne it numerous times. This way they make their $$ and i get my miles/pts. A win/win for both.