Only the unique characters have pictures stored with the game. All other character pictures rely on fan made portrait and body packs. These are added in the character info panel where Master names and character nicknames are added. Portrait packs for the first game work for this game as well. Look on the itch page for that game to find them. https://strive4power.itch.io/strive-for-power/community
The warning you have listed is of no consequence.