A floating selvedge is a selvedge thread that goes through the reed, but not through a heddle. It is used as a way to ensure that the selvedge is caught on every weft pick. When you make your shed, the floating selvedge will sit in between the top and the bottom of the shed. The shuttle is thrown over the selvedge thread and caught under it.
I am generally not a fan of floating selvedges. Many weave structures do not need them. The selvedges may catch every time on their own, when they don’t catch it’s not by much and it works, or there may be another workaround such as changing the direction of your shuttle, putting your selvedge threads on their own shafts if you’ve got extras, or planning your warp to break up the pattern differently.
For this pattern, I personally chose to not use a floating selvedge. I find that I have better rhythm and better selvedges without one. There are some picks in the border stripes where the selvedge does not catch and for those places, I manually went around the selvedge thread with my shuttle (If the selvedge thread is up, go over it. If it is down, go under it.)
The choice is yours.
If you do decide to use a floating selvedge, you can wind it with the rest of your warp or add it later. If you set up your loom to use one and decide that you would rather not, you can cut them out.