Just means there is some MentalRay material / shader in the scene, which was removed from Max at some point (2021 at a guess). You can ignore the message in general, or use the Max Scene Converter to remove obsolete materials. Usually, the MentalRay material was not actually applied to any object and is just "stuck" there in the scene, so everything will render fine. If there is in fact a MentalRay material used first a) Why on earth...??!! and b) I guess it would fail to render and be red unsupported material or black for no material, in which case just build a new Corona Material for it :)