Price slippage refers to the difference between the expected price before a transaction is executed and the actual price at which it is executed.
Slippage happens due to the dynamic variables of the Bancor formula. Every transaction changes the price slightly. The larger the transaction size of a token relative to its liquidity depth, the higher the price slippage. When you see the "price slippage" message, you are still able to proceed with your transaction. This is not an indication that may cause the transaction to fail in any way. If you just wish to convert tokens, you may proceed.
You may also set a custom slippage percentage ("Slippage Tolerance") to make sure that any transaction with higher slippage will revert. This is available by clicking at the top right cog.