Yes they have to say that or the risk the being declared a medical device which would then require pre-clearance by the FDA (which would then include submitting test data -- possibly from clinical trials -- to demonstrate the quality and limitations of its measurements).
With that disclaimer and general context, the FDA considered measuring blood oxygenation with devices like the Apple Watches (and almost any pulse ox you'll find at CVS, etc which probably use the exact same language) some sort of entertainment. Kind of like seeing how high you can jump or how many pushups you can do.