Extension cord requirement for outdoor string lights
I'd venture it is poor wording by a low cost bottom feeder supplier in China that has no clue what they are talking about...

Assuming by your use of the term "GFCI" that you are in the US or Canada (you didn't identify), to be able to use electrical equipment with 2 wire plugs, they must be "double insulated" and the plug itself must have a tag on it or a moulding in the body of the it that displays this symbol:



If it doesn't have that somewhere on the product, it is undoubtedly not UL listed, so what they tell you about safety is kind of pointless anyway.

All that said, if it IS double insulated and UL listed, then you can plug it into any outlet, whether the outlet is 2 prong or 3 prong, but of course any outdoor outlet must be GFCI protected now and will be 3 prong anyway.