There are two things required to avoid this message:
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Ensure you have the correct Facebook page ID set in your HTML. This should be the numeric ID, not what you see in the URL. I found my page’s numeric ID via https://findmyfbid.com
Example:
<div class="fb-customerchat" page_id="6708927376315932"> </div>
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Whitelist your domain at Your Page > Settings > Messenger Platform. Ensure this matches your domain, uses HTTPS protocol, and include the port too if using a non-standard port.
(And then make sure you hit the Save button!)