The message usually means that the video is subject to copyright, and it is not clear that you have permission to use it. (Just because it's free, it doesn't mean it's free of copyright.)
The video might itself be subject to copyright, or it might contain copyright elements, such as images or logos created by someone else. Another common example is when someone records themselves performing a song. The performance might be their own copyright, but the song (the lyrics and music) might not be.
The best thing to do is to treat the message in the way it is intended: as helpful advice. When you say the message, skip that particular video and move on to something else.