Yes, I do believe he was referring to the letter he left with Harry on the doorstep. I think Dumbledore was reminding Petunia that while Harry could still call 4 Privet Drive home, he was still safe under his mother's protection. Also, as we learn more about Petunia in DH, she wanted to be a witch as well, because she felt left out with Lily's being a witch. She wanted in on the wizarding world, and so she must have learned much about it. So Petunia knew about the magic that protected Harry so well.