I have a private readonly list of LinkLabels (IList). I later add LinkLabels to this list and add those
The warning is due to the fact that you could theoretically add a Control other than a LinkLabel to the LinkLabel[] through the Control[] reference to it. This would cause a runtime exception.
The conversion is happening here because AddRange takes a Control[].
More generally, converting a container of a derived type to a container of a base type is only safe if you can't subsequently modify the container in the way just outlined. Arrays do not satisfy that requirement.