VMware MBR help
VMware MBR help
You should add the new MBR during installation. Skipping it could cause issues later.
I'm guessing your running Esxi setup. Is the exact popup you're seeing in the VM? This usually appears at the end of the installation. The MBR holds the bootloader and partition table. To reformat a drive, you must create a new MBR—this is typical during OS installation or disk formatting.