See the picture . the game works fine , but never seen that .
(http://img131.exs.cx/img131/5773/wtf3.jpg)
I think the warning marker means the sprite was imported at a different colour depth than the game is running at. Have you recently changed it? As you said, it isn't really a problem, but if it becomes one I think you'll either have to change the colour depth back, or re-import the sprites.