Yep it's just another in a long line of QA fails with the Home app. You can proceed to set things up or choose "Later"
Either way, it doesn't matter - It will reappear next time you open the Home app.
I found it will often reappear after HK hubs are restarted. Sometimes, if you dismiss it and then restart all your hubs again, followed by your iPhone, it might go away. Or not.
Once you get to the point where you have 15+ hubs, the effort involved in trying to restart everything just to make it go away no longer seems worth it. On the plus side, I find if I ignore it for about 7 days, it goes away on its own.