The issue is that DataAssets don’t support replication (they are UObjects at the end of the day), however, you can still replicate a pointer to a DataAsset, just not the asset itself. The reason being is that assets are stabely-named, thus can be referenced over the network.
Why do we see that warning then? The reason is that DataAssets are meant to be static, i.e., not changed at runtime. Changing them at runtime while marking them as Replicated, will yield that warning.