A warning sign for the Lookup task, why?

I chose to redirect rows for the no-match output. That should be it for the Lookup task. Do not need to configure the ErrorOutput tab. The options for the error should be grayed out.

Additionally, be aware of using SQL Server Destination instead of OLE DB Destination for the match and no-match outputs. The OLE DB one has the option for Error Output configuration, adding confusions....