Even though I'm a Windows user, and you have a Mac, I get exactly the same situation. For me it's understandable though, as I use an external soundcard to do gigs, but quite often at home I like to use the internal speakers in my laptop to listen to the tracks.
I've been using the software since version 1.7, and as long as I can remember I've always had the same message in each subsequent version of the software.
I'm pretty sure that this is normal for the program to show the message when the soundcard is not connected, but don't quote me on it! If I'm wrong I'm sure someone will tell me!

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March 2012 Mixvibes DJ of the month
HP Pavilion dv6
2.5 GHz Intel Core i5-2450M
6 GB DDR3 ram
750Gb sata hd
Dual graphics Intel & Radeon
Beats Audio sound system
Windows 7 Home Premium 64bit
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