Could be some inter-file links
Like the "Thumb" files when you once chose to display the images under a folder in the "Thumb" way. Such files contain some extra contents to facilitate the browser or other software. But as the warning message said, the original files are still there. And normally such inter-file links could be re-generated later. So discard them should not affect your data storage purpose.
To avoid the forever popping-up warning msg, you'd better choose "show hidden files" in your browser to see what are the files exactly under the folder (CD-burn softwares normally only select the unhidden files, and that's why it will tell you that some files not selected.), and decide for yourself which files are need to be copied.