Hi @fabda,
This happens if you've previously deployed a Transparent proxy (which makes use of a proxy admin) and then try to deploy a UUPS proxy afterwards. The warning is just a reminder that proxy admins only apply to Transparent proxies and have no effect on UUPS proxies.
As long as you keep that in mind, you can safely ignore this warning or disable the warning. See https://github.com/OpenZeppelin/openzeppelin-upgrades/issues/369#issuecomment-920399254 for more details.