It just means the paint files have been moved since the world was created.
If it's your world and was created on your computer then the terrain paints have been moved since then or if the World was created on another computer they don't share the same location/path to the paints. The paint is saved in the world files but the Location of the Paint used is different.
All you have to do is click on the terrain box/paint and find the name of the paint then choose Edit to re-associate the correct paint to where it's located on your computer. It's not important but makes it easier to find when choosing them in CAW.