I found a workaround for this that worked in my case.
I’m on 5.1 and I’m using several physical materials in my landscape (which is imported from Gaea):
During the game I’m making a trace to find the lanscape physical material and within PIE it works fine (it finds, let’s say Dry Lake Physical Material if the player pawn is there), but on Standalone or packaged build it doesn’t: it returns the DefaultPhysicalMaterial.
Building physical material did nothing.
The fix:
Went to my landscape material and picked any physical material (it doesn’t matter, since the actual physical material will come out from the output).
Then built (not sure iif that did anything). Then ran standalone mode. The warning is still there but the trace now returns the correct physical material (Dry Lake).
Hopefully this helps someone.