Everytime I boot up the game, click continue on omega warning or sometimes when loading a save I hear this audio saying this phrase "Ohh fiddlesticks, what now?". What does it means? is it an error message about smt not loading properly?

Pretty much, it's an iconic Dr. Kleiner's quote from Half-Life 2 that should reference that something is bugging out / not working. As for the menu, I think it started happening after the Halloween event and the game started loading the normal start screen.

It might be because you aren't playing the game with internet connected, or its just something bugged.