Honest grown-ups will be annoyed that a lost child refuses to come with them to the obvious "lost children" place, but they'll put up with it while somebody tries to figure out where the people responsible for that child are. Somebody with nefarious motives will probably need to take the child somewhere else though - by refusing to go they're protected.
Wow, that site is awfully bad. I had to go through 3 pages + one excruciatingly slow video all of which just told me how amazing their organization is, but I still didn't know what "Clever Never Goes" means.
tl;dr for the rest: it means: "Never go anywhere unless it was planned beforehand".
http://clevernevergoes.org/
Honest grown-ups will be annoyed that a lost child refuses to come with them to the obvious "lost children" place, but they'll put up with it while somebody tries to figure out where the people responsible for that child are. Somebody with nefarious motives will probably need to take the child somewhere else though - by refusing to go they're protected.