I think I am having the same or very similar issue, I converted a project from 4.8.1 to 4.9 which worked fine but whenever I try to add a bsp brush to my map and save I get the external reference warning, then I imported a static mesh to the project and saved it and got no warning but as soon as I placed the mesh in the map and tried to save I got the warning again, I also imported the same static mesh into a fresh 4.9 project and placed it in the map and when I tried saving it I didn’t get the warning.