Furthermore, for copy-paste convenience, the parent folder of the keys will be assumed to be ~/.ssh/.
Note: Throughout my explanation, the key files I will be using/generating will be named id_rsa with their appropriate extensions. It simply boils down to the fact that the PuTTY Key Generator generates two different public key formats depending on what you do in the program. However, I can also elaborate and answer why the warning is there. As Roland mentioned in their answer, it's a warning that the ssh-agent doesn't understand the format of the public key and even then, the public key will not be used locally.
