The default for a Modal analysis is the Undamped natural frequencies and mode shapes. If this is what you want, you can ignore this message.

What do you plan to do with the Modal results?  If you are using them to perform a Modal Superposition Transient Structural analysis, you apply the damping in the Transient Structural model.

Did you specifically want the Damped natural frequencies? Is so, this is warning you that the Material Constant Damping Ratio defined in Engineering Data is not contributing to modal damping calculations.  This means that if in Engineering Data you added Constant Damping Coefficient, it will not be used in the Damped Modal calculation. 

If you want the Damped Natural Frequencies, you have to use the Damping Controls in the Modal Analysis Settings.

These controls accept the Rayleigh Damping coefficients to form the Damping Matrix as shown below.

Do you need more information on Rayleigh damping coefficients?