It is ok. No need to worry. It is not Error- just an information.
Person who saved STEP might have few parts in assembly. As you import it you shall indicate some folder for new files ( SW parts, assys) that might be extracted and must be saved.
So if you export:
-create new folder
-put step file in it
-import step to SW (play with options of import- "import mulibody as separate parts" )
-click on menu "SAVE ALL" to SW save all extracted parts for mentioned If you do not click Save all you will not open this assembli again ass correct but error will appear (no parts for assy to find by SW)
Cheers