Perhaps.
What exactly is the WARNING message? You posted a picture of the wrong part of the SAS log. You are just posted the summary that whatever tool (SAS/Studio? EG?) you used to submit the code generated. Instead look for the actual line in the LOG with the WARNING. If you cannot find it then turn off the option that is hiding the autogenerated pre/post code that is added to your code when code is submitted using that tool.
To debug further try hard coding the folder and filenames. So run a step that generates calls the filename() function. Then add one that adds the dopen() call (make sure to remember to add a dclose() if it works). Then add one that adds the DO loop to read the names of all of the files in the folder. etc. etc. until you are able to get the warning again.
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