Basically it means that you don't have a unique key on which to perform a lookup - so there is some ambiguity with the possibililty that you get unexpected results. This could happen where a value in your table might link to more than one entry on you external look up table.
This may be OK and acceptable for the lookup, or it may not, so the warning is provided but the user can decide to continue anyway. That is not a problem if you know and understand the data and can be sure that the results will not compromise your analysis.
A favourite 'problem' for this message would be a table with blank entries looking up to an external lookup table which also has blank entries, possibly unintentionally blank.
There can be other sources of the problem but it will almost certainly be something related to the contents of the lookup table in some way.