When we use Detach from Central (DfC) this message may pop up from time to time.
It can be a confusing to see it because quite often the very notion of using DfC is to deal with the fact that the Central File has been moved or copied, like when a consultant sends us a copy of their project file. We use DfC to create our own copy of their project on our server and project folder.
My initial reaction to it is, "Yeah...duh...why do you think I'm using DfC Revit?" Well to be fair, the reason the message appears is that the Central File was saved using the Save As > Options... Open Workset default: Specify (see next image). Revit is attempting to open that dialog before actually beginning the DfC process (technically).
Taking advantage of this concept means that we don't have to remember to choose Specify Worksets when we open a project, it is the default choice.
This is one instance where cavalierly clicking Close, thinking yeah whatever...is okay.