If you have not used your pen with Photoshop you will get that warning till you use your pen if your software is configured to work together. On Windows CC has support for two Pen Interfaces WinTab and Microsoft's INK. you can use one or the the other. However, all software need to be configured so Photoshop will work well with your pen.
Windows 10, Photoshop 22.4.2 an your Pen device diver must be configured to work well. IMO WinTab support performance is better than Windows INK. My Pen device is a Wacom device. Here is how I configure Windows, Photoshop and Wacom for either WinTab or INK. I know nothing about your VEIKK A30 device. Does it support both interfaces?