There is always a great danger with us humans that we think if we belong to the right church, listen to the right preachers, read the right books, etc then we will be OK. This is not true. Paul cites the example of the Israelites who came out of Egypt. They had all experienced the same things. They had been covered by the cloud of protection, they had gone through the Red Sea, they had eaten the manna from heaven. God was with them. Yet all this was of no value to them for they did not combine it with faith, and so most of them died in the desert.
Note that Paul likens being in the cloud to baptism. Baptism is very important, but we are not saved by baptism. We are saved only by faith. Note also that he says Christ was with them. Christ is God, He was He is, and He always will be. Christ is fully God and fully man, Any teaching that weakens either of these statements is wrong and contrary to the teaching of the Bible.
Paul then lists various things that they must not do. These are: sexual immorality, idolatry, testing God, grumbling. The exodus Israelites did all these things and died because of it. As the old hymn says, “trust and obey”. This is what we must do.