This is normal. It will pop up each time you restart HA & will generate a separate warning for each custom integration you have installed. Nothing to worry about.
Well, looks like we found your issue! Home Assistant Green doesn't have a zigbee coordinator built in. Zigbee Home Automation requires a zigbee coordinator to communicate with HA. That's why you can't set it up. I suggest you read the ZHA Docs to familiarise yourself with how Zigbee works.
If you want to learn more about Zigbee after reading the above, the cookbook section of the forum has a bunch of topics on the subject.