"Local calendar cannot sync with Google calendar..." but it can? What?
If you go into the Calendar app and press the Menu button, then select Settings you should see an options at the top for Calendars this should show all of the individual calendars on your device that are being merged together into the Calendar displayed.

The top one is probably My Calendar then below that should be an entry for your GMail calendar, then maybe Facebook, or Contacts' Birthdays, and any other calendars you may have access to. The My Calendar calendar is purely held locally on the phone, it doesn't sync to GMail at all.

If you don't want to use that, then take the tick out to stop showing it as it sounds like you'd rather have everything syncing to the GMail calendar. Next time you create a new appointment in your calendar scroll down the Create screen to where it says Calendar with a right poiting arrow, select that to make sure that it is saving to your GMail calendar. If so, then you can safely tick the "Do not show again" box on your warning, as you don't care about the phone's local calendar you're saving straight to your GMail calendar anyway.