It looks like you've activated all members for the design. However, some of these members do not have design properties because they are being designed through the parent member set. This is the reason you're encountering the error message (see the image, example member 29).
You can consider this error message more as a hint rather than a critical issue. The members will still be designed as part of the member set. 
If the error message is distracting, you can choose to exclude the affected members from the design calculation to remove the warning (see the image below).
Let me know if you need further assistance or clarification! I'm happy to help. 