You get the message even if you change between classes that are the same level, even though you don't get an xp penalty. The message is there only to warn you that if you start a lvl10 leve then switch to a lvl30 class, you won't gain the proper xp anymore.

If that's not what you're talking about, then I'm afraid you have to present your case better, because it really does seem like you're talking gibberish - there are no "sub-jobs" in this game...