According to Bulbapedia:
In Pokémon Diamond, Pearl, and Platinum, the usual "Saving..." message is replaced with "Saving a lot of data..." if the player has used the Pokémon Storage System at all during their session. This includes capturing a Pokémon and sending it automatically to a Box and using the Pokémon Storage System directly. It also occurs when saving and there is no save file already present. When this happens, the process will take significantly longer. In Pokémon HeartGold and SoulSilver, the message only appears after a Global Trade System trade, if the player is saving with no save file already present, if the save file is corrupted and the player is saving with a backup save file, or major changes are made to the Pokémon Storage System.
Sorry for just copy/pasting but I think this answers your question well enough on it's own.
In addition, as to why this is only in Gen 4, if I may quote Bulbapedia again:
The long saving periods of Generation IV have been rectified by giving the player only eight Boxes in the Pokémon Storage System until each one of the eight has at least one Pokémon in it, avoiding the need to encrypt empty Box data. If major changes are made to the Pokémon Storage System after all the Boxes are available, the "Saving a lot of data..." message appears, and saving will take longer than normal like in Generation IV when this message is shown.
If you want to read more about this you can view the Bulbapedia article in full here.
