Cree didn't make that charger. Cree makes just the emitter within the lamp, not even the driving electronics for it.

What you have there is a crappy Chinese charger sourced by whoever made the light. Nothing to do with Cree.

This warning would be just as appropriate for people with cell phones - those chargers can catch fire as well.

This warning is akin to saying "Warning, anyone who has a car with a Motorcraft air cleaner under the hood - mine does and last night the flashlight in my glove compartment caught fire."