Hi Jeroen,
You can check which queues are assigned to a user from the people admin page using that same tool. Simply select that user, then "more actions," and finally "assign queues." If you only have one person selected it will show what queues that person is currently in. If you select more than one person it will default to showing no queues selected.
The warning is most applicable if you are changing queues for multiple people. In that case it will set the assigned queues for all of your selected people to only the queues on the list (IE, its not additive).
Thank you,
Ryan