@admin This caption needs to be confirmed.
Some language like Japanese translated it as "Continue in English", Some like Russian use its own language name instead.
And the screenshot given circled the "Continue in English" as this strings, but the caption points that translators should use their own language name instead.
So, is the caption or the screenshot is wrong?

The screenshot is technically correct since this string can only appear when a DIFFERENT language from this one is used in the interface.

Although it is a little confusing, yes. But you should follow the caption here.