Answer:
The projection plane and the load direction are different parameters and independent of each other.
While the load direction is the actual direction of the acting load, the projection plane, together with the corresponding coordinates of the load position, describes the plane from which the position of the load is projected onto the surfaces subjected to the load.
In the example file, a surface perpendicular to the load was selected incorrectly for the free load. Thus, the warning appears during the calculation.
In the case of free loads, it is, therefore, always necessary to ensure that all surfaces rest in the correct projection plane.