In the good old days there were organizations who were fond of throwing a message up in front of users each time they logged in to their Windows computer on the domain. The messages were typical warnings about improper use of corporate PCs, the internet, and so on.
The other option is to “Create the conditional access policy later”.
All up this is a decent feature, certainly an improvement over the old way of doing things. The additional license cost stings a little, but by now it seems we just need to get used to anything even remotely resembling a compliance feature being available through premium license tiers.