Leon here from Shopify Support.
Are you going to be Drop Shipping your products directly from your supplier to the consumer? If so, that message means the supplier does not pay for any additional VAT or import duty when it enters the destination country. If you're using a shipping provider such as UPS, DHL, or FedEx, they'll pay to clear the item through customs and then invoice your customer for their costs.
This means your customer is the consignee of the parcel being sent from your supplier, and your customer is the importer of this parcel. Thus, your customer bears full responsibility of the VAT and import duty if applicable, and as a best practice, it's best if you ensure you and your customers are fully aware of this situation by adding a memo to your checkout or including it in your Terms of Service.
I hope this helps, let me know if you have any other questions.