You can basically ignore the message and. It is a result of using the CLASS statement and the necessity of creating a series of dummy variables. SURVEYREG over-parameterizes the model such that it sets the last level to zero, essentially making it a reference category, and then estimates the other parameters as compared to the referent.
It is more thoroughly explained in this usage note
http://support.sas.com/kb/22585
Although that refers specifically to Proc GLM, what is said holds for SURVEYREG as well.
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