What's the point in SQL Server Central Management Server?
The main difference between Registered Servers and Central Management Servers is where the server list is stored, and who it can be used by. There's no functional difference in multi-server queries -- at that point, the query window is connected to servers, regardless of which of the two features you used to get there.

It's unclear why that text is a warning in the documentation; I think it's just an advisory that you need to set up a server list before following any of the instructions (or they'd have to fork the instructions for Registered Servers vs. CMS). I think it should include language that indicates using Registered Servers (aka local server groups) is also a possibility, but I can see why they did what they did to simplify the instructions.

If you're interested in learning more about this topic, I have a two-part video series on my blog that you may like: Part 1, Part 2