So it means that pro photo RGB has such a wide colour gamut that my monitor can't show those colours. Does it mean I should worry, i.e. the print can produce that colour even if the monitor can't show it ?
No need to worry. ProPhoto RBG has a gamut that exceeds our human visual system capabilities. Your printer+paper combination may be able to produce colors that your monitor cannot. Then again, it may not. It depends on what monitor, printer, and paper are being used. That being said, most printers are capable of producing a wider gamut than monitors when used with lustre or glossy papers. With matte papers, you generally lose the ability to render highly saturated colors accurately.
A warning about being outside the monitor's gamut means that what you see on your screen does not accurately represent the data in the image. One consequence of this would be that you cannot accurately see the results of edits you may be performing on that portion of the image. One more thing you should read up on is rendering intents (keywords such as relative, absolute, and perceptual). Here is a nice article
to get you started on understanding how this plays out.This LuLa article
on ProPhoto RGB gives a good intro, if you haven't read it yet.