This is a very tricky question that heavily depends on jurisdiction and the specific circumstances.
As a general rule, the content you create belongs to you, and you can do whatever you want with it, no matter what tools you used to create it. Also, as a general rule, claims made by others are just empty words unless it's a law or a contract that you agree to.
This is probably the key question - do you have a valid contract with the toolmaker, where you give away those rights? "the application tell you ..." is not specific enough. I can make an application that tells you that you owe me $1000, and that doesn't mean anything. For example, if you go to the store and buy a paintbrush and afterwards see that it has a label on it "Paintings made with this brush may not be sold commercially", then again it doesn't mean anything.
However, if there is an EULA where the contract or T&C is shown to you before using the application, and you need to agree to it before using it - then it's complicated. It may be a valid contract, or it may be empty words, depending on where you live and the exact details of how it's done. In some locations, any terms shown to you after the purchase is made are null and void, but not in all of them - so you may need legal advice from a local lawyer.
Another specific rule that might apply - if the content you create includes content owned by others, then this is derived work and you require permission to distribute it - this applies to all kinds of game content where you use pre-made sprites/sounds/whatever in your game; or if you make a 3d model that includes parts of other models or ready-made templates, then it also may require that permission to distribute your creation - but it doesn't apply if you create a model 'from scrath' simply by using the tool; if you use a complex tool but the 'creativity' is 100% yours then copyright law doesn't require any permission from the toolmaker unless you have a binding contract where you agree not to do X.