This message means that some of the materials in the rendered scene are not compatible with Corona. This is usually because the material is native to another renderer.
Please either manually replace the offending material with Corona-compatible one, or use the Converter Script to automate the process for large scenes with high amount of materials.
Note: sometimes this message might be displayed when using Hair and Fur modifier. This means that "mr prim" rendering mode is set in Hair and Fur options in 3ds Max effects window (8 key) - please make sure that either "geometry" or "buffer" is selected.