Your Photoshop file shouldn’t be causing the problem, unless it has a spot color channel.
Are you using spot colors in any of your Illustrator drawn objects? (A spot color is any of the swatches in the swatch palette that have a little dot in the bottom right corner).
If your file is destined for web or video, you can ignore the error. If it’s destined for print, it’s worth paying attention to, as spot colors separate unreliably when used with transparency.