That's not an "issue", it's just a warning.
The board has 6 SATA ports.
M.2 #1 can use both SATA and PCIe modes. When populated, you lose the ability to use SATA port #1.
M.2 #2 is PCIe only, and when populated, you lose the ability to use SATA port(s) #5 and #6.
So, you could still populate with 2x M.2 drives AND use the remaining 3 SATA ports for HDDs etc.
In the build you propose, with 1x M.2 and 1x SATA HDD, you're only losing SATA port #1.
Could still use 1x M.2 + 5x SATAs OR, in this case, you'd still have 4x SATA ports unused (yet still fully capable of being used).
https://www.asus.com/ca-en/Motherboards/PRIME-Z270-A/specifications/