When you add a domain name into the domain list, it's checked for correctness and if it's an invalid domain name, it is validated.
Wrong TLD means that the program cannot recognize TLD. E.g. "domain.xxx", "help.htm", "file.exe". In this case, dialog with two choices will be displayed: Reject Domain and don't include it in the domain list and Don't Validate that is, leave as is and include in the domain list.
Select the Don't ask, use this choice checkbox if you want to use selected choice by default and don't be prompted anymore.