Programming STM32-p207 using JTAG
Some of the JTAG pins are multipurpose in STM32. During boot time, they are programmed as JTAG pins however software can override this functionality an use them as gpio. 
I didn't look at the board but it sounds like the pins are connected to LCD and audio. 

I guess what the message saying is if you use these pins for LCD and Audio and if you do not have a mechanism not to program them, after boot, once the image from internal flash is executed, those pins will always be reprogrammed and you won't be able to put STM32 into JTAG mode. So, they ask you to implment a method (wait for x sec or if this button is pressed during boot, do not program the JTAG pins etc.)