The warning indicates that the Player's web-browser is either:
a. So old it doesn't support the local storage functionality required by the SugarCube engine.
b. Is being run in a mode / way that restricts access to the storage functionality required.
examples:
a. You can get this warning if the web-browser has been configured to disable cookies.
b. Microsoft Edge will show a similar warning message if the Player is trying to view a copy of your Story HML file from their local hard-drive.
Try unblocking cookies from non-visited Websites