Don... I'm gonna take a guess at your question... although I haven't used ViewNX/CaptureNX in years...
EXIF data can be embedded in RAW files, and to a certain extent, jpeg files...
external data, is usually stored in external files... known as side-car files... and links to these side-car files are usually stored in a catalogue structure... Lightroom does this... the above reference to XMP is referring to ViewNX's version of these side-car files... There's a process in LR, and I'm sure ViewNX also to embed these side-car files directly in the RAW files... and ViewNX can use that information as search criteria... i.e., the reference to "key words" and "rating info"... is NOT normally stuff that gets stored in the RAW file... because it's added by the user in post processing...
It would be helpful, if after you loaded the RAW files to a computer, and flagged your images with key words and ratings, to be able to search those RAW files in the future based on those ratings and/or key words...
If you dig into what XMP files are all about, I'm sure the message you got will make more sense...
Here's a link to a definition.
https://www.adobe.com/products/xmp/