You need to either set shadows to CoronaShadows or disable them
This message occurs whenever scene contains any 3ds Max native light source that has shadows enabled, but shadow type is set to other than CoronaShadows. Corona can only render shadows from 3ds Max native lights when shadow type is set to CoronaShadows. If any other shadow mode is chosen, the light will not be rendered at all.
Set shadow type of 3ds Max native light(s) in the scene to CoronaShadows.