That's a scary warning for more or less no reason. In this instance all it means is that Lightroom will be unable to 'undo' the operation by pressing crtl-z, or selecting Undo on the menu. You will still be able to use LR, to move it right back where it was previously, etc.
I'm going to tell you something you probably already know, just to explain why that message appears. When you move a file in Windows (other machines too, probably) different procedures are used whether the new location is on the same drive/partition or a different drive/partition. If the file is to remain on the same drive, the move is treated basically as just a renaming of the file, and happens extremely quickly, because the file itself is not actually moved, (only the c:\.....\.....\....\myfile.raw part is changed). When moving to another drive/partition, the file is actually copied to the new drive, and deleted from the old drive; and the actual copying takes a significantly longer time.
I believe that LR gives the warning only when moving from drive/partition to drive/partition, but not when moving within the same drive.
'Previous Import' is not a location, so much as a 'collection', which has a special meaning to LR. Its contents will not change, until you begin another import process. This has the advantage that you can sort your images into various folders as you describe, and still keep track of the most recently imported.