What caveat (warning) does Nixon give regarding his cooperation with the investigation?

Unclear question. However I infer you are referring to US former President Richard W. Nixon.

Explanation:

His ploy was to issue a fake warning that the investigation is harmful to National Security.

Remember, the then President Nixon was under heavy investigation by the F. B. I so he warned that attempts to reveal the truth was going to endanger the country's security just to frustrate the investigations.