The label is there to warn you that the fabric is not treated with flame-retardant chemicals. But think about how often kids sleep in clothing that is not treated sleepwear.
A true danger exists in homes that have open flame heaters, like butane or gas heaters or fireplaces and electric heaters, especially for children who wear flowy clothing, like gowns, because they tend to blow out into an open flame. If you live in a home with central heat and never use other types of heaters, you don't have to worry so much. Blankets and quilts are not treated but then danger only exists if someone uses the cover near an open flame.
All that said, you need to make your decision based on your own circumstances. My grandbabies wear pj's that I make them, never gowns or really big pant legs, and they live in homes with central heat, no space heaters.