Honest grown-ups will be annoyed that a lost child refuses to come with them to the obvious "lost children" place, but they'll put up with it while somebody tries to figure out where the people responsible for that child are. Somebody with nefarious motives will probably need to take the child somewhere else though - by refusing to go they're protected.
tl;dr for the rest: it means: "Never go anywhere unless it was planned beforehand".
My son was always hyper social. (I have no idea where he got that from.) Would walk up to any one, everyone and start a convo.
While it's fantastic that my son was so open, trusting, there is still a risk. A little girl two grades ahead of him was abducted and then found dead on a beach. (Oak Harbor WA, should any one want to dox me.)
You can add a few more layers like seeking out someone in a uniform or who has a stroller, but generally speaking most people minding their own business are perfectly safe.