That is not an error. It's a message you will receive the first time you start a pointer scan with a new address. After you've scanned once, you can save that pointermap with which to compare against the next scan related to the value you're interested in finding a persistent pointer path for. You can save each subsequent pointermap and keep comparing that way.
The guy in the video doesn't have you do that. He has you keep the initial results window up and then keep rescanning after each restart of the game.
That message is a confirmation letting you know that an initial scan can take up a vast amount of disk space, especially in hefty modern day games. The video you linked to uses Assault Cube as its game target, which is a very small game and shouldn't take very long to scan (nor should it take up much disk space).
There are a few possible reasons as to why you didn't see that confirmation in the video you've linked to, so don't get too hung up on that. Just click "Yes" and be aware that, depending on the game you're scanning and your system, it can take anywhere from 30 seconds to 12+ hours for an initial pointer scan to complete, and your disk space can be eaten alive in the process.