Time Machine

If you wish to have maximum protection of your data by encrypting it, then you need to reformat the Time Machine backup drive using Mac OS Extended, Encrypted and Journaled as the Format type. If such security isn't needed, then leave the drive as it is.

Drive Partition and Format - El Capitan or Later

1. Open Disk Utility in the Utilities folder.
2. After Disk Utility loads, select the drive (out-dented entry with the mfgr.'s ID and size) from the side list. 
3. Click on the Erase button in the Disk Utility toolbar. A panel should drop down.
4. In the drop down panel set the partition scheme to GUID. Set the Format type to Mac OS Extended (Encrypted and Journaled.)
5. Click on the Apply/Erase button and click on the Done button when it is activated.
6. Quit Disk Utility.

What os do you have? Are any of your disks encrypted? I get the same message now on a MBP w/ new T2 security chip And a new WD 10 TB drive 3 weeks old and I have no encrypted disks. However disk info from disk utility on my new external drive shows its encrypted when sleeping. Whatever that means.... As far as your original message that you get, I wouldn’t worry about it. As mentioned I get the same and have been able to restore backups no problem. Is the below what you are seeing?