Hi Fred,
This warning simply means that you have a static mesh in your level that you’re building lighting for that doesn’t have a static mesh assigned to it. It’s just an empty actor.
If you click on the link in the warning it should take you to the NULL actor and have it selected. If you look in the Detail’s panel you will see that it should have no assigned static mesh. Either delete this actor or assign a static mesh for it to be used.
I hope that helps!