Seems like the same question was raised through below post on the forum back in 2014.
I tried to create derived configs and got the same message when I tried to assign different materials to the configurations present. I also had only one display state assigned.
Even through I selected Brass for 1st Config and Copper for 2nd, the appearance (color) for both was that of "Copper".
But when I assigned dedicated display states to each config, this message box does not appear again.
Step 1: Right click in Display States window and selcect "Properties"
Step 2: Select the Checkbox under Advanced Options
This is what worked for me, if experts have a better solution, they are most welcome.