I need to test, or you can do it yourself in a maintenance window, to tell exact behavior for each fail-over case with policy route. But a general idea is "policy route sticks" regardless the circuit status. If you want to route to wan2 for specific destinations, not any other parameters, you should just use static routes.
As in the doc link-monitor can remove static routes when wan2 connection go down, but not any policy routes. So when wan2 connection goes down, those policy route destinations wouldn't fail-over to wan1.
The note in the doc means the packets would be dropped if it's initiated from outside and coming in wan2 but the routing decision tells it that the returning packet should go out to wan1, so called asymmetric routing. Setting the same distance routes to both wan1 and wan1 but with different "priority" would mitigate the situation. If you have dial-up VPNs coming in this FGT you should consider the option.