The wording of the message (aside from grammar) is in some sense a legacy of v8, where the staging server for VESQL had to be on the backup server. In v9 you can choose a remote staging server for VESQL. However, the backup server is still the default staging server, so if you want to upgrade the local instance to SQL 2014 for that reason, go right ahead - I haven't heard of any negative side effects for doing so. Actually, it may improve performance of some operations.
The usual approach is to install a separate instance of the newer version, detach the database from the old instance, attach it to the new instance, and then use the DBconfig utility to tell the backup server the name of the new instance.