I have noticed this issue before:
1. Open central file with Create Local checked, new local file is created.
2. You want to save a copy of the project as-is for future reference if needed, so do a Save As.
3. Make sure Make Central File is checked, and save it to the desired location.
4. Close the file.
5. Under the R menu, point to the local file you were just in, to continue working.
6. Warning box comes up saying the central file has been moved and is now the location of your local file.
7. After file opens, check the SWC dialog, and sure enough it still references the correct central file location.
So it's not a REAL issue, kind of an annoyance. I KNOW I KNOW you should always point to the Central file and make a new local every time, but really, it doesn't seem necessary to do this when you JUST MADE ONE two minutes earlier. I wonder what causes such a warning box to appear.