VALIDVARNAME=ANY is usually set automatically by EG because it uses variable names that may have embedded spaces or special characters. The warning doesn't mean you've done anything wrong. It's just means that you have to look at your data and look at the generated code and decide whether VALIDVARNAME is set correctly for your particular situation. If you need help deciding on the correct setting for the VALIDVARNAME option, then your best bet for help is to contact SAS Technical Support.
FYI, the possible values for the VALIDVARNAME= option are
-- V7 (default) Allows mixed case, 32 character variable names. Valid characters you can use are alpha, numeric and underscores.
-- UPCASE Allows 32 character variable names, but uppercases the variable names. Valid characters you can use are alpha, numeric and underscores.
-- V6 Version 6 rules apply.
-- ANY Allows variable names to contain special characters. You can use a maximum of 32 characters, stored in mixed case.