Correct.
GFCI replacing grounding takes care ofis actually the ideal solution for the peoplepeople problem (assumingshocking people) and serves that purpose better than grounding. Assuming no boneheaded bootlegging or islanding of grounds. But GFCI (alone), but it does nothing for the ESD/lightning problem which can damage sensitive electronics or cause goofy problems with radio transmitters. You need fair warning of that, hence the labels. The labels also allow you to pass inspection.
Current travels in loops. Current wants to return to source. For natural electricity like ESD and lightning, the source is ground, not neutral.
You need fair warning of the lack of equipment ground, hence the labels. The labels also allow you to pass inspection on 3-prong outlets without a ground.