Hi
Have not come across a situation to limit the number of records in APD while processing, we have several DTP's extracting quite high volume of data and processing it further. (Including Cumulative & Non-cumulative key figures)
However please be informed that the processing will fail if the query execution runs out of memory due to high volume of data.
Based on the above screen shot it seems to be a warning message but will process the data.
Regards
Ashish