You can achieve your requirement by following steps:
Step 1: Create customer_address_index.xml under your theme location like below:
app/design/frontend/Vendor/theme/Magento_Customer/layout/customer_address_index.xml
Add the below code to your customer_address_index.xml:
<?xml version="1.0"?>
<page xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="urn:magento:framework:View/Layout/etc/page_configuration.xsd">
<referenceBlock name="page.main.title" template="Dapl_OrderAttribute::html/title.phtml"/>
</page>
Step 2: Create title.phtml under your theme location like below:
app/design/frontend/Vendor/theme/Magento_customer/templates/html/title.phtml
Add the below code to your title.phtml:
<?php
/**
* Copyright © Magento, Inc. All rights reserved.
* See COPYING.txt for license details.
*/
/**
* @var $block \Magento\Theme\Block\Html\Title
*/
$cssClass = $block->getCssClass() ? ' ' . $block->getCssClass() : '';
$titleHtml = '';
if (trim($block->getPageHeading())) {
$titleHtml = '<span class="base" data-ui-id="page-title-wrapper" '
. $block->getAddBaseAttribute()
. '>'
. $block->escapeHtml($block->getPageHeading())
. '</span>';
}
?>
<?php if ($titleHtml) : ?>
<div class="page-title-wrapper<?= $block->escapeHtmlAttr($cssClass) ?>">
<h1 class="page-title"
<?php if ($block->getId()) : ?> id="<?= $block->escapeHtmlAttr($block->getId()) ?>" <?php endif; ?>
<?php if ($block->getAddBaseAttributeAria()) : ?>
aria-labelledby="<?= $block->escapeHtmlAttr($block->getAddBaseAttributeAria()) ?>"
<?php endif; ?>>
<?= /* @noEscape */ $titleHtml ?>
<div style="color:#ff0000; font-size: 14px;"><?= /* @noEscape */ __('To change the shipping address, please first add a new address and then select the new address') ?></div>
</h1>
<?= $block->getChildHtml() ?>
</div>
<?php endif; ?>
Hope this helps! Cheers!