I know why I'm getting the message but why should PROC MEANS care about that.
ods select none;
proc means data=M_STATS_IN_ROWS_03_sl N MEAN STDDEV MEDIAN MIN MAX alpha=.1 completetypes stackodsoutput;
class xtrt / order=data preloadfmt mlf missing;
ods output summary=M_STATS_IN_ROWS_03_cvars(drop=_control_ nobs rename=(variable=_variable_));
WARNING: An ALPHA value has been provided without requesting confidence limits.
NOTE: The data set WORK.M_STATS_IN_ROWS_03_CVARS has 3 observations and 8 variables.
NOTE: There were 19 observations read from the data set WORK.M_STATS_IN_ROWS_03_SL.
Since the only purpose of Alpha from the procedures point of view affects creation of confidence intervals I put this warning in the "helpful reminder" category. Sort of assuming you intended to request confidence limits but just forgot the request.