It is an alert for highlight or shadow clipping - Bright/Dark area in Playback Display method controls whether it shows. It's useful to tell you what can't be recovered in a photo for instant review (which has its own Bright/Dark area setting).
You really don't want to turn the under/over exposure warnings off generally. You should review each picture after you take it, and try to adjust exposure to where you don't see the warnings. It's not possible to do that for every picture, because sometime the dynamic range of the scene may exceed the dynamic range of your sensor, but it's important to retain detail in as much of a photograph as possible.