In the Check Project Message box, Dbl-click on that error/warning message, so that you can see exactly where it found the issue.
In this case, there is an Asset, probably a Timeline, with no End Action set. This End Action tells the DVD player what to do next, like Return to Last Menu. Note: you can have an End Action on several different Assets, like Playlists and Chapter Playlists. Also note: if one has a Playlist with an End Action, and in that Playlist are Timelines with their own End Actions, the End Action of the Playlist takes precedence, and Check Project will issue a warning message (looks like an error message, but is just informing you of this precedence) to that effect. So long as that is what you want, just ignore that notification.
End Actions tell the DVD player what to do next. As mentioned above, it could be to Return to Last Menu, it could be to Go to another Menu, and you can even, with Specify Link and the drop-down, tell it to go to a Menu with a particular Button highlighted. It could also be used to make a Timeline Loop, where you would set its End Action back to the beginning of that Timeline. You could also set one Timeline's End Action to go to another Timeline. Lots of possibilities.
Remember that I told you Encore was more involved, than PrE's semi-auto authoring. Do not be overwhelmed, but just take it slowly. Soon, when you get the "lay of the land" down, you will greatly appreciate the new power and control that you have. Being overwhelmed will be replaced by great joy, and you will feel like a god.
I would like to make one recommendation, and you WILL thank me later: Jeff Bellune wrote a great book, The Focal Easy Guide to Adobe EncoreDVD 2.0, Focal Press, ISBN 0-240-52004-1. Do not be put off by the title and the version, EncoreDVD 2.0 (I know you have CS5). Everything in that book applies 100% to Encore CS5. Now, CS5 has added some "stuff," that will NOT be in the book, but this forum and the Help files will step you though those. Jeff's book will take you through all of the aspects of Encore and navigating the DVD-specs. He'll also teach you how to create illusions, that seem to override the DVD-specs. Of course we cannot do that, but the user will think that we have. This book will soon become your go-to for almost everything in Encore.
Good luck,
Hunt