It’s just an economy tip when driving in the economy setting. Having windows open creates more drag. Its there to help you. You can turn the tip off in the MMI. it’s nothing to worry about. It’s just fuel saving tips. Ps It doesn’t matter if you have the aircon off or on, if you are in the eco drive mode you’ll see the message once you get over a certain speed.
Easy rule : open your windows in 30mph zones and then above 30mph, use your aircon (in eco aircon) to cool the car. You’ll use less fuel this way.