Nope, it (transceiver) either works or not from the start. This warning is more of a disclaimer type - "If you have some problem that Fortinet TAC will attribute to the transceiver, they will not debug it".
We have used/use both - certified and not, and haven't had any case of it being a problem. More depends on quality of the transceiver itself - if you buy cheapo SPF for 50$ it will cause problems whether you use it in Fortigate or Cisco and the problem will be obvious anyway.
We never used SFPs cost more than US$50 at least for last 15 years with our customer serving FGTs. None of them are certified by FTNT. But we always choose "FTNT/FGT compatible" if there is an option, and avoid some brands that went bad in a couple of years in the past.
"America is the land of plenty" I guess :), in Israel we have import tax on everything, to get SPF at 50$ its original price should be 25$, decent 10 Gig SPFs start at 300$.
