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I got the warning info at a little past 40,000 miles on our '18 S. I have a picture of that warning in this post: Rotors ReplacementDid your "check brakes" red warning light light up? I was told I would need rear brakes soon, but no warning light yet. 33K miles 2017 Macan S
It's my understanding from reading the forum for three+ years -- and also from that warning, which states "Driving permitted" -- that you'd typically have plenty of time, perhaps a few thousand miles, and certainly some hundreds, AFTER the warning shows up, to get the work done. So I certainly wouldn't have it done BEFORE the warning shows up (unless it's for convenience, scheduling, etc., purposes).
In my case, I took care of it a week or two later, because the scheduling was convenient for me, they had a loaner available, and so forth.