That is a warning message - not an error message. So your file will save regardless.
It is warning you that in Preferences > File Handling you have chosen not to Maximise compatibility of your PSD/PSB file. In practice that means that a flattened version of the file is not save alongside the layers within the file. For Photoshop that makes no difference but for some applications (including Lightroom) that would read that flattened version it does. I tend to save with Maximise compatibilty on, which results in slightly larger PSD/PSB files but which can be read by those other applications.