When should I be concerned with this?

Usually not at all and the DPM2010 RTM release will check actual LDM consumption providing an early warning. Neither will DPM2010 consume all LDM space allowing space for re-consolidation purposes to reduce extents should that be needed.  However, …

…on large scale storage migrations you may want to check what is still possible before migrating hundreds of volumes. For instance with 300 data sources and zero extents you can only migrate 193 data sources at a time because volumes must co-exist for a while. At that point, old migrated volumes will have to be deleted to free-up LDM space.

…upgrading DPM2007 to DPM2010 maintains the storage pool which may already be in a less desirable state due to large number of extends created during the DPM2007 life time. In a bad case you may want to opt for migration rather than in place upgrade.

How to check what is still available?

I like to point to a companion script by Sid Ramesh that provides useful information on how many volumes and extents are used and how many more data sources can be added.

ref:  http://blogs.technet.com/b/dpm/archive/2010/03/30/checking-ldm-database-space-usage.aspx