Is this for Sage 300 ERP or Construction?

Sage 300 CRE has a knowlegebase article #37199.  I think the simple answer is to disregard this message.  It appears the system is marking the box to use the federal status & exemptions for you when you post PR checks.  There is not a state tax table for TXSWH as there are for states that have state income tax.  However there is a TXSUI_E tax in the tax group for TX.  So I'm thinking you should be setting this up simply for TXSUI_E.  If you were to always mark this box when you setup new employees for the state of TX, the message might go away, but I'm not sure if it will.  You could try marking this yourself  on new employees and see, but if it doesn't stop the message, disregard this message.  If it doesn't go away, you might also submit an enhancement request.  I feel like this is an issue that Sage could address in future updates.