don't worry, it will only affect you if you live in california
I've seen this warning on a lot of holiday light strings lately, but never on an extension cord. I thought it had to do with using recycled plastic, and the posibility that the plastic had been in contact with lead in the past.
winnies post seems to be the best explanation. a long time ago i remember hearing something about lead and vinal blinds.
Im sure under normal circumstances, the amount of lead is so small that it doesn't stand a chance of harming you. the companny is just covering their asses against lawyers.