Bug? Warning for missing library.

It seems that it is only displayed the first time the project is opened.

That is normal - the project (before you loaded it) was configured to use that library (that library was checked on the "Library" tab of that project BEFORE you loaded it), and when you now load the project, the IDE can't find that library ON YOUR PC, and reports this error.

You will probably get an error when you try to build the project because of the missing library.

Don't save the project at that point. Add the missing libraries and load it again.