Hi ,
That window appears when Twinmotion is unable to locate files, usually textures, at the location where they were originally stored when they were added to your Twinmotion file. Usually this happen when the texture files were moved from their original location, but it can also happen if the files aren't stored locally, such as on a network drive or cloud storage location and haven't synced to your computer.
If you select Open, you can choose a different location for Twinmotion to look for the missing textures, if they were moved.
If you select OK, Twinmotion will open without attempting to load those textures, which is why materials go missing. You can still re-apply textures after doing this, but you will need to do so manually for each missing texture.
Best,
Raghib