This warning is displayed if you have RSS enabled for a blog, but do not have the RSS filename specified for that blog. Until this is fixed, settings will not get saved, and this error message will continue to be displayed.
To fix this, open the "Blog Settings" area in the Settings tab, and expand the "Blog RSS" section. If RSS is enabled there, be sure you have specified a filename in the "RSS Feed Link Details" section.
If you have more than one blog, select another blog from the "Select Blog" dropdown list, and repeat the process until you have found the blog which has RSS enabled, but no filename specified.
If you do not want to use RSS for a certain blog, simply disable it, and this will also resole the error message and allow settings to be saved.