I opened with Microsoft about this problem. I appears to be caused by data entities that have been deprecated but are still in one or more projects. They provided the following instructions to clean up the obsolete data entities. I followed the instructions, but I still get the warning. I also was not able to delete all of the offenders because some said they had a dependency. Since I could not identify a data entity that could not be imported or exported, Microsoft said, its just a warning, don't worry about it.
Instructions for removing orphan entities:
1. Run the following sql statement.
SELECT ENTITYNAME FROM DMFENTITY WHERE ENTITYCONFIGKEYNAME = '' AND ENTITYISENABLED= 0
2. Run the following statement and verify it returns no result. It means no data project uses the entities of #1.
SELECT A.DEFINITIONGROUP, A.ENTITY from DMFDEFINITIONGROUPENTITY A
JOIN DMFENTITY B on B.ENTITYNAME = A.ENTITY
WHERE B.ENTITYCONFIGKEYNAME = '' AND B.ENTITYISENABLED = 0
3. Run the following sql statement. It will return no records, means the list of #1 are orphan entities.
SELECT SCHEMA_NAME(SCHEMA_ID) AS SCHEMA_NAME, NAME AS VIEW_NAME
FROM SYS.VIEWS C
JOIN DMFENTITY A ON A.TARGETENTITY = C.NAME
WHERE A.ENTITYISENABLED = 0 AND A.ENTITYCONFIGKEYNAME = ''
4. Go to Data management workspace > DMF entities > Choose the entity of #1 and click Delete button.