Correct.
GFCI replacing grounding takes care of the people problem (assuming no boneheaded bootlegging or islanding of grounds), 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.