This is normal. There are two major cases that can have different impacts.
One is the original data set is just from a different operating system and generally doesn't have major issues.
The second is if the character values are encoded using a different data encoding system, such as a double-byte system that contains foreign language characters, such as Chinese, and your system uses a WLATIN encoding then you will lose data in the character conversion.
Suggestion: create a new copy of the file such as with a data step, which will repeat that message.
Look at the values. If there aren't any problems just use the copy you made to avoid the message. If it appears you have lost text, symptoms include characters that look incorrect for the variable or empty boxes then you may have to consider some other options to preserve the text.