well, here is the link to the plugin: http://wordpress.org/extend/plugins/.../installation/
and the exact text:
Make sure the default Apache virtual host points at your WordPress MU site so it will handle unknown domains correctly. (Need info on cpanel, etc. How do you get them to respond to any domain?)
I guess what they mean by default vhost, is the vhost that gets called if none other fits!? does that make more sense?
I.e. a domain points to this server and then you delete it from the server but the DNS still points here, so where do you land when accessing this domain?