I just went to the local Jaguar dealer having had the same alert on my onboard computer.
The dealer informs me that :
Yes the Car will refuse to start ( it will not shut down ) again after the 500 km countdown expires.
Jaguar are not allowed to disable this feature as it is required under EU and US regulations for all diesels.
The AdBlue tank is 17 litres to fill and lasts approx 20-23000 km.
I bought 16 litres at my local car shop and the special filling hose ( type AdBlue at BASF to see this ) and filled the tank up, and it was no hassle at all and done in about 15 minutes.
No need to keep any in the trunk, as if you fill the tank it lasts a long time ( about 1 lire per 1000 miles ) and even if you get the low alarm ( from 1 litre in the tank ) you still have 1000 miles to sort it out.
I went from alarm to calm in no time when i figured this is no trouble at all, just another one of those routine jobs that have to be done from time to time.