It’s not an error, it’s a warning. But yes, it’s correct that if you change the default text font to Petaluma Script, either by editing the font/paragraph styles directly or by changing the music font to Petaluma, you’ll see this warning because a number of styles (e.g. bar numbers, chorus lyrics, etc.) are set to use an italic style of whatever is the default font, and there is no italic style of Petaluma. (There’s also not likely to be an italic style for it in the future.)
There’s also little we can do about this on Windows since Windows will always report that a bold, italic and bold italic weight of a font is available, even if it’s not, because Windows is able to synthesise these faces from the regular weight (though of course they don’t look as good as ones that would be laboriously produced by a human font designer). So it’s only missing in one sense.
If it bothers you, either go through the font and paragraph styles in your document to make sure that those that use Petaluma Script don’t request an italic style, or disable the missing font warning via Preferences.