The warning message has been introduced in STAAD.Pro SS6 build 20.07.11.82. The is related to cl.4.4.2 where it is mentioned that if the Ky and Kz values calculated in cl.9.3.2.2 is greater than 1.4, then a second order analysis is required. For any member for each bending + compression load case, program calculates the Ky and KZ values according to cl.9.3.2 and check it against 1.4. For any load case for which linear analysis has been performed, if the Ky or Kz value is greater than 1.4, program reports the warning message in the output file. A second order analysis (for example, P-Delta analysis in place of perform analysis) is required for those load cases.
For second order analysis, it is mandatory to use Repeat load case instead of load combination case. If load combination case is used, program considers the analysis results for that combination case as linear analysis results and second order effect is not considered. So the warning message will be reported. Using REPEAT LOAD case will remove those warnings.
Check this video for more details and how to remove the warning -- https://youtu.be/5Jy0XoefyXA