My understanding was that if you know you're on the last episode then you'll expect things to be resolved or something like that. Similarly, you probably don't expect any twists on the second episode.

I've not heard of the series so I can't comment on it specifically but that was my take on their warning.

Rot-13 explanation:

Gur frevrf unf cbvagf vg zvtug raq, ohg qbrfa'g, naq gura qbrf noehcgyl raq abg irel sne vagb vgf ynfg frnfba. Gurer'f n yvggyr rkgen wbl gb or unq vs lbh qba'g xabj dhvgr jura vg jvyy or bire (frrvat gur rcvfbqr pbhag ba gung ynfg frnfba, va cnegvphyne, fcbvyf gung). Vg'f abg yvxr gung ehvaf gur fubj be nalguvat, ohg vg'f n yvggyr orggre vs lbh pna znantr gb erznva oyvaq gb vg.

Nun, V frr. V npghnyyl gbbx n ybbx ng gur cybg naq V checbfrshyyl fcbvyrq gur raqvat bs gur fubj sbe zr, naq V jvyy abg or jngpuvat vg. V gubhtug guvf jbhyq or fbzr shaal zbpxhzragnel, ohg gur qenzn natyr jurer vg pbzcyrgryl ehvaf fbzrbar'f yvsr naq unf n qrcerffvat svanyr? Ab gunaxf.