You generally will want to bind to the fields in the data fields. If the control on the form is not in a repeating container (section, table) and the data fields group is repeating (likely, if the form is a list or DB form), you will get that warning. You may find it easier to drag the fields onto the form (from the data fields group) to start with - if the data fields group is repeating, InfoPath will ask if you want a repeating table or section.
I do understand that the data and query field groups are in the same data source. If you set the query fields prior to executing your query, they will limit the data returned to your form.
You might find this easier to understand if you drag a field from your query fields onto your form. Add a button that executes that data connection (query for data is the rule action, I believe). Drag the data fields onto the form. Preview the form and enter something in the query field and click the button and see how that limits the returned records in the data fields. If you need help setting this up, attach a template under the Options tab that has a data connection to one of your SharePoint lists.