This message occurs whenever a scene contains any 3ds Max native light source that has shadows enabled, but its shadow type is set to other than CoronaShadows. Corona can only render shadows from 3ds Max native lights when the shadow type is set to CoronaShadows. If any other shadow mode is used, the light will not be rendered at all.
Solutions:
Set the shadow type of 3ds Max native light(s) in the scene to CoronaShadows:
See: Using native 3ds Max lights