I'm not sure what this means... I guess it depends on how you proceed.
This should be something easy to test anyway, isn't it?
Right-Click > Import MEG/EEG > Select my .e File > Select all the data from the sleep list and process them using concatenate time > Right-Click the newly generated Data > File > Export to File > EDF
I would rather convert directly from the continuous .e to a continuous .edf file, without this importing step. Are you proceeding in this way because you want to exclude some of the data blocs from the output EDF file?
Why do you need to export to EDF?
This should be avoided if possible, and maybe replaced with the BrainVision format if you need to take the data outside of Matlab:
There main problem with the EDF file format is that it cannot store floating point values.
In the Nicolet .e file recordings, the values are probably stored as integers (16, 24 or 32 bits). When imported to Brainstorm, the channel gains are applied and the values are saved as floating points double-precision. When exporting to EDF, the values have to be converted back to integers, with different channel gains.
These multiple layers of signals resampling may cause subtle artifacts in the signals, insignificant in terms of amplitude (ERP analysis would not be affected) but may lead to some artifacts in time-frequency or connectivity analysis.
Maybe this warning is completely useless in your case, but in general avoid reconverting between "incompatible" file formats if not absolutely necessary.
Cheers
François