retrolefty, so the text has been changed.
I thought it was only with the Mega a problem but not with the Uno.
The warning can be read in different ways. Perhaps they ment to say that without using the voltage regulator the board is 'unprotected' against higher voltages. And there are many cheap adapters that supply more than 5V.
Tilemachos, I don't know what your plan is with the zener, but it doesn't sound good.
If you need more power, use a good power supply with a good +5V. The Uno board is designed to be able to get power via the +5V pin (but only if it is +5V and not higher).