Correct, all emails that normally go via the global config now will be send by Acymailing.
The popup does not say Joomla users will be created. It says that this method will create Acymailing subscribers. The reason is that Acymailing only can send emails to subscribers that are present in Acymailing.
In case your popup info tells you otherwise there might be a msitake in a translation. If that's the case, please tell us which language you're using.