Okay, here is what I think:

This is a link to the product with ingredients.
Medicated Extra Strength Body Lotion - Gold Bond Medicated

It is probably the menthol, but also maybe the parabens.
Parabens are being removed from US topical products, but that is going pretty slowly. The warning is possibly mandated by the FDA gras list. Some things allowed OTC show up as possibly safe, so a warning goes on the product label.

There are an awful lot of chemicals in this product.

Two things about SFN..

1) avoid heat and hot temperatures (showers, baths).
This stimulates the nerves and makes the pain more long lasting and intense. Use only lukewarm water. Avoid heating pads, saunas, hot tubs, steam rooms etc.

2) Menthol stimulates cold receptors biochemically and blocks the slower heat nerve signals briefly. It is often used in topical pain products to reduce pain, for that reason. This is only a brief effect however, and does not change anything. Some people do develop sensitization to menthol, but it is not really common. So allergic reactions are possible.

There are often warnings on products that diabetics use on the skin. This is because, they may mask skin damage, which may progress to infections, which may become gangerous and require ultimate amputation.

If anyone here with PN has severe dry skin, this suggests the diet is lacking Omega-3 fatty acids. Flax oil especially provides the essential Omega-3 for skin and mucous membrane maintenace. Providing this by supplements is a good idea.
Also the Omega-3 long chains that are made in the tissues from the flaxoil (alpha linolenic acid) EPA and DHA work as anti-inflammatories and nerve repair Omega-3s. If the diet is low or not providing these essential nutrients the skin will become terrible. In teens during their growth spurts, this often contributes to severe acne. In adults it shows as dry skin and dandruff.