Connection Manager attributes have changed. The mappings of previous columns are no longer valid.
The message stayed there even after I changed the OLE DB connection manager, added and removed columns to the lookup, and clicked every available button in the Lookup Transformation Editor. And it prevented me from clicking OK to finalize and save the transformation. I decided that I should look through the code for any bad syntax or other anomalies, but it was difficult with the screwy formatting, so I "washed" it by cutting and pasting it into Notepad++ and then back into SSIS.
And guess what? Not only did the code look better, the warning message went away. So if you're seeing that warning, try cleaning up the formatting of your SQL query.