This is because of the Procurement data maintined in the MRP2 view of the material master. You may change it to E - Internal (In-House Production) or F - External Procurement. But, I believe this is not an Error, this would be an information/warning message only. You may proceed after accepting the message.
I arrived on this old discussion while looking for a solution of the same issue.
I found out that there is another parameter that could be maintained/changed beside MRP2 screen, on customizing:
IMG > Logistics - General > Material Masters > Basic Settings > Material Types > Define Attributes of Material Types.
On each material type, "Ext. Purchase Orders" can be set:
Ex Short Descript.
0 No external purchase orders allowed
1 External purchase orders allowed, but warning issued
2 External purchase orders allowed
Just set to 2 to allow external purchase without any warning.