You are changing them in the correct manner. The warning message is letting you know that you have to manually update your sketch. If you notice in your image, you are showing A and C along the right and left. This is because your sheet is now divided by four, and your zone labels need to be moved and added to accomodate your change. In other words, the zones in your Sheet Properties do no automatically update your manually sketched elements on your sheet. This is because SOLIDWORKS doesn't draw your border for you.
The good news is that it is pretty easy to update your border sketch. Turn on your Zone Lines (in the View pulldown menu, near the bottom). Assuming you haven't changed your margins in yourexample, just copy any of the existing coloum labels twice on each side of the sheet. Space out each of your four column labels, centering them between the zone guidelines. (As you move your zone labels, they will update to show the zone column that they are in.) Use the Align Horizonal tool to line them up. Erase your existing zone dividers, and draw new ones where the zone guidelines cross your border. Softsnaps will help you place your sketch lines. Repeat for your row labels and dividers.
If SOLIDWORKS made a tool that controlled your border, updating it was you change Sheet Properties, how often would you use such a tool?
My thoughts are that if I change the number of zones (either rows and/or columns), the drawing sheet should update automatically and size the identifiers to the sheet zone parameter settings.