Do two things:
To see if your clips in the Timeline have timecode – from the drop down dialogue on the top of the Canvas window, turn on Show Overlays > Show Timecode Overlays. You should see a timecode value for both audio and video tracks.
The message you are referring to is a generic message and can refer to auxiliary items such as text or internally generated colour bars. If you have any internally generated items (items that came from within the program and not from an external source – e.g. videotape) than there is a good chance that these items are causing the message and you can safely ignore it (that is, unless your clips didn’t contain timecode).
Remember also the limitations of an EDL – Video one and Audio one to four.