You have 2 categories in this database. You can only have 1 category to store records in the database directly.

I am confused so I have to make a separate database for each category in pages now? I just renewed my IPB license to start on my site again. I finally have the time to work on it. I didn't think I had to make a separate database for each category before.

[edit]
I have added articles to more than 1 category. I am just wondering what the warning is for now. 

It's a warning which causes lots of misunderstandings. What it means that if you want your records to be at site.com/database-name then you have to set it to 1 category. If you have more, the records will be at site.com/database-name/category-name. It's really obvious once you know what it is but the wording is confusing.

I made a FAQ entry about it recently: 

https://www.opentype.space/superdocs/ips-community-tips/pages/you-can-only-have-1-category-to-store-records-in-the-database-directly-r1/

Thank you both for helping me understand.