The option is called 'Use base price list if not found' on the OE profile System Options tab. You currently have this option enabled. What this does is if you have not defined an item on an Alternative Price List, you either get the alert (as what you are getting) or an error that the item does not belong on the Price List and you cannot add the item to the order until you first add the item to the Price List.

To avoid the alert, you have to set up every item on every price list. Then create/edit the alternate price list items that will be different. It won't matter what setting you have in teh company profile because every item will exist on the price list and thus never have to revert to the master price list.

It is not possible to create just the 'exceptions' to the master pricing and not get the alert that if the alternate price list item doesn't exist then the pricing comes from the main list. There is no option to just 'disable the alert'.