It is OK to continue after this message. However there are certain steps to be done.
See link below.
How To Create A Custom Time (PT) Function | SAP Training HQ
Steps to create a custom function in pe04 and to create the code include
Though these links refer to a customer PT function, you can do similarly for a PY function, except:
- Select the countries that it is for (usually one country only) - not all countries (option '*').
Also it is recommended :
a)Create a shell include for the ABAP code and include this include name in the user/customer include. Activate the payroll program & the new/changed includes.
b)Enter this name in the second PE04 screen.
If you do not do the above, the customer function must not be activated, else the payroll program would fail with message "xxxx ABAP include not found".