What does it mean when 'Cool On' or 'Heat On' is flashing on the display?

A flashing 'Cool On' or 'Heat On' message means the built-in compressor protection feature is engaged. This prevents damage to the compressor by forcing it to wait a few minutes before restarting after a shutdown. Wait 5 minutes for the system to restart safely; the message will stop flashing once it is safe to restart. (Page 15 & 19)

From the official Honeywell TH6110D Programmable Digital Thermostat manual, page 15

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