The difference between save-excursion and save-current-buffer is that
the first doesn't just save&restore the current buffer but also "point&
mark". But if you do `set-buffer' right after save-excursion then most
likely you will change neither point nor mark in the original buffer, so
the extra work performed by save-excursion compared to
save-current-buffer will be useless.
Now that's just a waste of resources but is otherwise harmless.
Unless of course `blub' is already the current buffer to start with.
I.e. whether point movement in "..." is undone by save-excursion will
depend dynamically upon whether the current buffer happens to be `blub',
which leads to subtle bugs. Hence the warning.