They are telling you that if you install it to USB and your computer won't boot from the USB drive you are on your own.
AFAIK, you shouldn't have a problem but I have never done that. I use pluggable hard drives for experimenting.
Just select removable devices from the boot menu when you hit escape. Put:
bios.bootDelay = "5000"
in your .vmx file to give you more time to hit the escape key.
Lou