That is an advisory, and it does not contain the phrase "the wheel will turn itself off on you if you don't listen."
Elsewhere in the manual it states that (I'm probably slightly misquoting) if the wheel gets too hot, it will reduce the FFB to a minimal level until acceptable operating temperature is restored.
I doubt this is the direct cause of the wheel disconnects, but I suppose anything is possible, could be a flaw in the PS3 compatibility if it only happens in that mode. I had some problems in 4hr Tsukuba, although it didn't shut off, it just became unresponsive and I had to restart it myself. I also ran the 4hr Nurb race with mine with no problems whatsoever, with only a couple of short breaks. I use a GT3.
I'd treat that warning with slightly more importance than the "don't play for more than 2 hours a day" to avoid bodily harm one, but I wouldn't lose sleep over it. If the wheel can't handle endurance racing then it's not worth the pricey box it comes in.