The "Projection Queries cannot be delegated to this database" message, that sometimes is displayed as a warning in execution traces, means that some of the projection operations included in the query cannot be delegated to the data source.
This does not mean that these operations will not be applied as part of the query, it just means that the query that is delegated to the data source will be executed without these projection operation and that they will be applied to the results by the Virtual DataPort query engine as post-processing.
A similar message will show up in the execution trace of a query if an individual function can not be delegated to a data source with the text:
The function '<name>' cannot be delegated to this database
As with the projection operations, the function will be evaluated on the Virtual DataPort side in this case.