I'm a Home Performance Contractor with a degree in Toxicology (long story...) so I'll answer your question, but without more information on your warning label or light fixtures, it's difficult to know what part of the fixture the warning label refers to.
- There are several Federal and State agencies that may require a company to put a Lead warning on their product or a company may choose to voluntarily affix one, just to satisfy their own lawyers.
- If the label refers to the fixture itself, I don't see a way for any measurable amount of lead to get on you or into your home once the fixtures are installed.
- It is likely that any lead in the fixture is encapsulated inside the electronics, wiring, or lamp receptacle where it is not available.
If your new fixtures are surface fixtures with a glass cover, perhaps the labels refer to a small amount of lead used in the glass for color or glaze, where it is also safely encapsulated.
But regardless of whether there is a small amount of lead in any part of your new fixtures, if your worry is persistent enough then perhaps exchanging the fixtures is worth it for your peace of mind.
For more information:
Read "There is a warning label on my new light fixture saying the brass exposes you to lead. How safe is this to hang above my kitchen island?" a Q&A answered by Elliot Seibert.