This article explains why you would see this message on the ProQuest platform:
When clicking a Link Resolver icon, ProQuest creates an OpenURL and passes it to the Link Resolver. This is how the Link Resolver knows what document to look for elsewhere in your institution's holdings. The OpenURL standard only supports these source types:
If you use a Link Resolver for another source type (ie Newspaper) ProQuest will still create an OpenURL, but you may not get the document you expect to see since the OpenURL being created is for an unsupported source type. This message simply displays as a warning. Click continue to navigate to the Link Resolver to see if the document is found elsewhere in your institution's holdings.