I think that’s only partly right. If your theme does not declare WooCommerce compatibility, there will be a warning message in admin. But the message can be discarded. It will appear whenever the theme is updated. No big deal.
To avoid the message, your theme can declare WooCommerce support in functions.php:
https://docs.woothemes.com/document/declare-woocommerce-support-in-third-party-theme/
Avoiding the warning message does not necessarily mean your theme is actually compatible. Other measures may be needed:
https://docs.woothemes.com/document/third-party-custom-theme-compatibility/
Some non-compatible themes may give hardly any problems, others may do. Your experience will partly depend on your skills at solving problems. See how it goes. If it doesn’t go well, there are several excellent compatible themes to choose from.