Welcome to the board! Well, the bobbin case did have a screw in it, if the really didn't want you to change it, they would have just soldered the darned thing.
I think the caution is there because it takes such a tiny adjustment to really change the tension it's easy to go way overboard. Most folks don't think to mark the original position of the screw so trying to get it back to where it started is an issue. It's often suggested purchasing a second bobbin case if you are planning on making lots of adjustments, like when you do bobbin work.