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Package pageslts prints out this warning since I use pdfpages and hyperref in the same document.

Package pageslts Warning: Package pdfpages detected. (pageslts) Using hyperref with pdfpages can cause problems. See (pageslts) ftp://ftp.ctan.org/tex-archive/ (pageslts) macros/latex/contrib/pax/ (pageslts) for project pax (PDFAnnotExtractor)..

What does this mean? Am I supposed to change anything in the document or when am I going to see any problem?

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I think that it's nothing to be worried about; hyperlinks in the PDF included with pdfpages will be lost, but this is known. The PAX program by H. Oberdiek can be used to reinstate them. – egreg Sep 23 '12 at 16:50
up vote 3 down vote accepted

I really don't know why pageslts issues this warning, as the problem doesn't seem to concern it.

It's a fact that PDF included partially or totally via pdfpages's \includepdf but also with the standard \includegraphics command lose their hyperlinks, but this has nothing to do with having loaded hyperref (of course, without it there will be no link whatsoever).

A partial solution to the "lost links" is provided by Heiko Oberdiek's project PAX (PDFAnnotExtractor) with the script pdfannotextractor and related programs.

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