220V GFCI circuit breaker neutral
GFCIs work by making sure current is equal in and out (i.e. that all current is accounted for).  As such, all (normal) current must pass through a GFCI device: All hots and any neutral.  

Normally one attaches the neutral wire to the neutral bar.  The GFCI instructions are warning that you can't do the normal thing, and "the" neutral wire must go through the GFCI breaker (for detection purposes) just like all the hot(s).  

Since  your circuit does not employ a neutral wire, this advice is irrelevant to you. 



When wiring this circuit, you may find it prudent to run a /3 cable so it can be used later for some other appliance which may want neutral.  In that case, leave the full length on the neutral wires, but cap them off. 



All that said, the GFCI breaker will have a "neutral pigtail" (literally looks like a pig's tail, it's all curled up) -- this is where the GFCI gets the supply-side neutral from.  You will probably need to plug that into the neutral bar on the panel; many 240V GFCIs need it to power their own onboard electronics. 

As with all GFCIs, hook up the GFCI itself and get it fully working before attaching anything to the load side.  You will easily catch any such problem in this area.