Since Red says “next,” it seems whoever he is speaking with has already accomplished something in the Season 7 finale.
Perhaps Red is warning that learning either of these things will not necessarily be a good think like Katarina or Liz wants it to be.
Katarina and Liz have plans on The Blacklist, namely to learn Red’s real identity and who is trying to have Katarina killed, and Red is holding onto both secrets incredibly tight, having resisted torture to protect the identity of Katarina’s would-be assassin.