Why is my PS4 internet settings saying The router in use may not support IP fragments?

[BLAKE]

Do I need a new modem or to do an update to it, what does this even mean?

[Lewis]

Does it effect any type of play or connectivity?

[Kristian]

Packet fragmentation is when you are trying to send or receive more data than can fit in a single network packet. So what the router does is break a long message in to smaller units and put the data in to multiple packets. Some routers can have issues with fragmented data though and may just throw it out, or if data is marked as "Do Not Fragment" then it just vanishes as the router drops it. If there is an update to your router, I would try that first and see if that helps. The issue may not be your router though and could be your ISP's. As long as your games work, I wouldn't worry about it too much though.