People have been inhaling steam with oils for a hundreds of years with no ill effects. Think aromatherapy - essential oil in water for steam inhalation.
That said, some oils are irritants so if you have asthma, you probably should avoid liquids like cinnamon or wintergreen or ask the supplier specifially if they use oil. I'm pretty sure the notice on the Lorann's is a CYA.
Also there are some oils that probably are best never to be inhaled even in steam or vapor. Here is a list I found that was pretty good:
Essential oil safety
By the way. Many of the tobacco liquids from China always have had oils such as rose oil and tobacco absolute oils in them. This is an old thread with the information from a well known liquid supplier. Chemicals listed include oil (1) and the other chemical list the standard safty warnings (which are common, but are used in the liquid safely, so don't freak out about it!). People have been vaping these ingredients over 2 years with no (reported) problems except allergy/asthma triggers.
This was one of the first e-liquid ingredient disclosure/testings that were made public on the forum:
http://www.e-cigarette-forum.com/fo...smoking-liquid-about-hit-uk-20.html#post39187 (Note: At that time, it was made in China, I'm not sure what TW is doing today).
As a last note... that thread is worth a whole read since it shows how long and how dedicated members have been to having a safe liquid to vape!