DeleteDuplicates should only do no musicbrainz data check once even if multiple folders selected
So if Set Song is a Duplicate If to a option that requires MusicBrainz/Acoustid ids then Delete Duplicates does a quick scan to check if any of your songs do indeed have these values, and if not issues a warning.
Now if you just selected /Volumes/DATA-Pegasus/muzak/Music it would start searching through the subfolders and as along found some metadata in one of the folders warning would not display.
The problem is you have selected multiple subfolders instead, and the check is being done per subfolder, so for every subfolder that wasnt matched to MusicBrainz it showing warning.
This is a bug it should only check once