Ah oops, i'll update this to be a bit more clear! The message references a "Text Data Inspector" which I *think* I call the Text Data Editor more often, now. I'll get to updating the docs and warning message on this, I've really been meaning to review the docs!
The ideal way to make a font data file, or any other kind of data file, is with the Text Data Editor, btw! That's the menu that pops up when you click the [T] in the top-right of any Super Text Mesh component inspector