David,
This happens because EG generates and ODS statement like the following:
ODS HTML ... STYLE=MYSTYLE STYLESHEET=(URL="path-to-MYSTYLE.css")...
The STYLE= value results in the warning if there is no ODS style template that matches that name. For the built-in styles (ANALYSIS, MEADOW, and so on), there are matching ODS templates. But when you define your own style sheet and give it a meaningful name, it probably won't match an installed template.
The warning is an annoyance, but not necessarily a problem since the output appearance will be controlled mostly by your custom style anyway. If you want to avoid the warning, you can create an ODS style template with PROC TEMPLATE (examples on the Base SAS focus area on the support site).
Chris