A pruned knot will always catch up, what's the problem?
The problem comes from the opening of Bitcoin Core, but the wallet in question is not loaded in Bitcoin Core (because you have closed it). Bitcoin Core will continue to be synchronized and will receive new blocks and transactions. However, it will eliminate old blocks once it has stored the configured amount of block data.
For example, suppose your pruned node is synchronized with block 570000 and configured to hold 1,000 blocks of data. When you do
Close the portfolio At block 570000, your wallet is synchronized with block 570000. But Bitcoin Core is still running and is receiving new blocks and transactions. 1000 blocks later, at block 571000, block 570000 is deleted. One block later, block 570001 is discarded.
Now, if you try to load your wallet again, he will try to catch up on the last block, so he's looking for block 570001 to start reanalysis. However, your node has already deleted the block and the new scan can not continue. In order for the 570001 block to scan it, you must download the complete blockchain again. This is what the warning serves.
During the entire period of closing your wallet, Bitcoin Core was still running. However, your wallet has not been loaded. As a result, he does not know how to analyze the transactions belonging to this portfolio. Even if he knew it, he would not know where to place the transactions he finds. So he's still catching up, but without the wallet in question, he can not find the deals that interest you.