This problem began with 4.3.11
Clicking the X on the box makes it go away and Dorico appears to work fine nonetheless.
Also posted on FB but no luck there:
Yes, it will work perfectly fine, but you must have somehow tampered with the Dorico installation.
Under C:\Program Files\Steinberg\Dorico4\VSTAudioEngine is supposed to be a subfolder Skins and in there a file called skins.srf. It is not there, I suppose. Question then is, how and why did you remove it?
I have no idea how that file could be missing. I definitely have not removed it, nor have I tampered with the Dorico installation.
I did a search of my entire C: drive and the file is not there. How can I get it back?
I would suggest uninstalling Dorico and then running the installer again.