The reason for this warning is that sets of members cannot be designed according to General Method 6.3.4 of EN 1993‑1‑1 by default. However, this method is only allowed for loading in the support direction; that is, without the transverse bending moment. Therefore, the corresponding warning appears.
You can perform the stability analysis as cross-section design according to the second-order theory, which is possible using the add-on modules RF‑/FE‑LTB or RF‑/STEEL Warping Torsion.
As an alternative, you can neglect the transverse bending in the filter options of the "Details" dialog box or the "Stability" tab, or activate the adapted method according to Naumes in the "National Annex" dialog box, which enables transverse bending. The use of both options is at the discretion of the user.
In this case, however, the best option is to select Equivalent Member Method for the design of sets of members in the "Details" dialog, "Stability" tab.