Does a build all (as opposed to lighting only) solve it? There’s a bug in 4.7 where building lighting only won’t rebuild BSP geometry which could lead to this.
Another thing to try - set ‘r.Shadow.WholeSceneShadowUnbuiltInteractionThreshold 100000’ before loading your built level. If that gets rid of the message, you’re hitting a different bug that will be fixed in 4.8 wrt ‘lighting needs to be rebuilt’ message showing up incorrectly.