It is what it says on the tin. It's detected that there is an FM installed via DarkLoader in your Thief 2 game folder. Specifically, if it finds the file "DarkLoader.Current" in your game directory, and if that file contains an FM name and list of files, it flags it as there being an FM installed with DarkLoader. To my knowledge that's an accurate indicator.

The dialog was added in because sometimes people were coming from DarkLoader without having first uninstalled the FM that was installed with it. If you try to play the game while an FM is installed with DarkLoader, strange things can happen, like the DL-loaded FM might play instead of the original game, or instead of another FM, or possibly other related things. So I added that dialog to tell the users if this is the case so they can go into DarkLoader and uninstall the FM.

If you've never seen the dialog before, you must either have just upgraded from a version prior to 1.6.4, or were using DarkLoader with that game folder recently. It's supposed to be self explanatory - open DarkLoader and "install" the original games with it. Did that not work? Do you not have DarkLoader installed so you can't open it up? If that's the case, you can just delete DarkLoader.Current from your Thief 2 game directory, and if everything is working fine otherwise then great, but if that file exists and contains the abovementioned FM-related data (you can open it in Notepad to see) then you might have remnants of an old DarkLoader FM still in your game folder. Like I said if you haven't run into problems then fine, but if you ever do run into problems like the wrong FM playing or something, then you should do a clean install of Thief 2.