I thought it was for the reduction in speed when having thicker tyres on, for example changing to 225x50x18, it has a slower rolling resistance over 225x40x18 therefore you adjust your speedo to give correct reading
The winter tyres you fit are supposed to be the same rolling circumference as the standard tyres.
VW fit 225/45/17s and 225/40/18s which are pretty close.
The suggested winter tyre size is 205/55/16 (I think) which is again, roughly the same rolling circumference.
As long as the rolling circumference is within a few % there is no need to re-calibrate the speedo - although you need to reset the Tyre Pressure Monitoring or it thinks you have a puncture!
I believe the warning is as stated, to warn you of the speed limit of your tyres, as winter tyres tend to be lower rated than summer tyres.