It's ok. I get the same dialog when charging my iPhone 6 with a charger I purchased directly from Apple.
Try connecting the cable to a different wall outlet to charge your watch.
If that doesn't help, the charging cable is covered under the one year limited warranty.
You can make a reservation at a Genius Bar in advance > http://www.apple.com/retail/geniusbar/
Set up the charger. In a well-ventilated area, place the included Apple Watch Magnetic Charging Cable or Apple Watch Magnetic Charging Case on a flat surface, plug it into the included power adapter, and then plug the adapter into a power outlet.
Important: Completely remove any plastic wrap from both sides of the charger.
Charge Apple Watch. Position the back of Apple Watch on the charger. Magnets on the charger align Apple Watch properly. When using the Apple Watch Magnetic Charging Case, keep the case open. You’ll hear a chime when charging begins (unless Apple Watch is muted) and see a green charging symbol on the watch face. The symbol is red when Apple Watch needs power and turns green when Apple Watch is charging.