Thanks for the descriptive video - that really helps frame the questions!
A joint defines the relationship between two components. After you select the two components, you're seeing a preview of the relationship. If you haven't already done soe, the first thing to try is pressing OK in the Joint dialog. If the remainder of the bearing assembly is assembled to the bearing, it should all move as expected.
If the bearing assemlby is not assembled, you can create rigid joints between each component of the bearing assembly, or use the Rigid Group command to bind them together.
The promt that you see when you create a joint is a message telling you that components have been moved. Much of the time, the move is inadvertant, or isn't intended to be captured (perhaps you were dragging components around). Pressing Continue will restore your assembly to the pre-moved state to contine creating the joint. In some scenarios, it's valueable to capture the move (for example, you could model in a 'door open' position, or a 'dooor closed' position). In those scenarios, you can use press Capture Position to record that move as part of your parametric design history.
The lines that you asked about during highlight are sketch lines - they appear during component selection,.
Let me know if you have any further questions.
Thank you,
Charles
Charles Haughey
Fusion 360 User Experience Architect