It doesn’t change your order—just your storyline.
The story splits at different points for various reasons that aren’t necessarily related to your Order. For example, in Chapter 1 human commoners can choose whether to save an orphanage or a hospital. That’s why the warning is fairly generic—it warns you that you’re accepting any choices made by the other player, and what your next story step will be. There’s no way for it to know what your choice might have been, since the next story step might be based on a choice made in this or another story step, the player’s Order, etc. It simply knows what the story owner’s next step is, and if you accept progress, that will also be your next step. (To keep you playing together.)