I finally upgraded to 9.2, and now I am getting similar messages. I understand that in 9.1, SAS was just not displaying the warning. However, I have not specified an invalid device, so the lack of a device must have happened during installation (I am running on Windows XP)? I checked all of the links in your reply above, and none of them seemed to address the reason why I do not have a valid device defined.
What is the proper way to either install SAS 9.2 or how do I set my devices/sysprint so that SAS uses those settings every time? One of my concerns is that we have one IT person who installs SAS for every user, so this must be happening for other people as well.