Converting a requirement to a feature will cause the record to lose some custom field information because features may not have the same custom fields. We can choose whether or not to proceed. There's no mention of integration to an external system, such as VSTS, TFS, or other. This may result in integration errors because the record type changes. It would be helpful if Aha! included a mention of integration in the warning. There are pros and cons of keeping/deleting the integration link but at least the user would be aware of it.
Wow! That was fast. ☺