I'm seeing this message is because I installed a device owner, right? (Note that I'm talking about a "device owner" in the sense of a special device administrator app, not the first user in a multi-user setup. Thanks to Izzy for drawing my attention to the possible ambiguity.)
This is Android 6. I never saw this message on different device running Android 5 with the same device owner installed.
The device owner must be configured immediately after a factory reset, before setting up a user account. I could factory reset the device and see if the message goes away, but I'm hoping to avoid that since I've already set up a bunch of other things.