Seems like a complicated situation. They’re technically two separate devices, one port (iPad) can send power in and out, the other can only send it in (Magic Keyboard). This warning is specifically about connecting a single USB-C cable between the two, which I imagine can create an undesirable loop of power or miscommunication or whatever.
You can charge it via either port—plug a cable into the iPad’s direct port on the bottom, or plug a cable into the C port on the keyboard, and the iPad will charge via the Smart Connector that attaches the keyboard to the iPad.
This warning simply tells us not to create a loop between those two ports with a single cable. My post is just a silly joke about using this method to create infinite power.
I wonder if the danger here is that the iPad already powers the keyboard through the Smart Connector. BUT, since the keyboard has no battery, it can charge the iPad back through that Smart Connector. It’s a strange device relationship.