There are two kind of messages that Revit shows you regarding how walls, floors and roofs interact.
The first kind (Attach) occurs when the geometry of a wall touches a floor or passes through the floor. If you edit the sketch of a floor, when you finish the sketch Revit asks you if you'd like to attach this wall (or any other walls that intersect too) to the underside of the floor.
The point of this is to establish an "automatic" relationship between the underside of a floor and various walls. If the floor type (thickness) changes the top of the wall(s) will change as well. If the level the floor is assigned to is raised/lowered the walls adjust accordingly too. It's meant to be "quicker" than manually doing it yourself by selecting walls and using the Attach Top/Base tool. However you may want some walls to do it and others not so much. Many times the "correct" answer is NO.
Here are the results for yes and no responses (note that there is no "joining" of geometry, just the wall height is changed).
Same thing happens when a wall and roof geometry intersects except the dialog message is slightly different.
The second kind (Join) is when a floor intersects a wall, like at exterior walls. Revit asks if you want to join geometry so the cut/projection lines that it draws better represent how these elements would really intersect.
The first message does appear too, just before the second message appears. It's good to choose NO to the first so the wall does not get attached (which would change its height) and then YES so the geometry joins nicely. If you aren't cutting a section through this part of the building then you could argue there is no need to join geometry since nobody will see the clumsy connection between wall and floor.
Now for this message to appear it is necessary to "Pick Walls" and use the "Extend into wall (to core)" Option. If you don't use these then you just get the first message.
If you choose NO for both "questions" you can always use the Join Geometry tool later between any elements that need to "clean up" better. Again the point of this second kind of question is to provide a "speedier" way to end up with a better section(s) when you cut one later.