When you see the warning triangle, and the wind method chosen is shown in blue text as a link on which you can click (like a web page), this is not indicative of an error. If you click on the link a more complete explanation comes up. The warning relates to an inconsistency between the wind load and wind coefficient methods that you have selected. KeyPOST will select the most appropriate wind coefficient method to match the wind method you want, in your case Eurocode 1, and this is listed in the report.
You can select whichever wind co-efficient method you want. It is not clear in version 4.0 (and earlier) which KeyPOST selects if you leave it to ‘use the most appropriate’ (this changed in version 4.1 to make it clearer), but you can explicitly select the method you want, to clear the warning, assuming you select a matching method. The force coefficient method is indicated in the report. The screen shots both showing ‘BS EN’ when KeyPOST is set to work in UK mode.