It means that by compiling their code into your binary, your binary will contain a string that shows which version of the library you used. Anyone will be able

It means that by compiling their code into your binary, your binary will contain a string that shows which version of the library you used. Anyone will be able to find it by searching your binary file for the raw bytes. Since the code is open-source, you can always remove the string yourself. This isn't scary. It's not phoning home to a web server or anything. If the library was dynamically linked as a .so/DLL instead of header-only, you'd be able to find the same information by looking at the ELF/EXE file header.