It depends on what you want to do with the finished image. If you will be printing with a wide gamut inkjet (7 to 12 inks), stay in ProPhoto RGB. If the image is for web sharing, email attachment or printing at a commercial print lab, change your PS working space to sRGB and stay with it. You can avoid seeing that notice again by changing your LR Preferences so that the "Edit in PS" file (tiff or psd) is sent already in sRGB.
You are getting this warning message as there is a color profile mismatch.
Please choose "Use Embedded profile".
This will keep using ProPhotoRGB in photoshop as well.
In order to change the color profile in Photoshop, please click on Edit > Color Settings.
Then change the working space color profile.
In order to change it in Lightroom, please navigate to Lightroom Preferences > External Editing
Then change the color space.
Hope this helps.
Assuming you are doing an "edit in PS" from LR, you are not really exporting.
Since the file is coming back into LR, the best option would be to "use the embedded profile".