Need CMYK for printer... but msg "document is using CMYK blend space..." concerning

Hello all,

I need to create an output PDF that is CMYK for the printer.

I thought I was doing everything correctly until I got this message that was generated when I selected Export (to PDF), "The document is using CMYK space. Colors are converted to RGB in interactive PDF files. To avoid color changes, click Cancel and choose Document RGB from the Edit > Transparency Blend Space menu. Click OK to continue."

So, I think this means that the PDF export is being saved in an RGB color space. Is that a correct interpretation? If so, how do I preserve the CMYK color space because that is what the commercial printer requires? Is that even possible or relevant?

Thank you