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You probably have built two strips of one way highway that merge into each going opposite directions... if you look closely at the end of the connection you will see arrows pointing in certain directions.... you need to delete one side of the road until it no longer goes in the direction you dont want it to go... then you can build a new strip of highway starting from the connection you want to go in the new direction. Hope this helps.
This usually happens when someone builds a road like this....
Someone builds highway going this way.... and then decide to finish the connection at the connection street and try to connect to the new highway they built.
Some tiles have two highway connections. If you connect to one, but not the other, the warning still pops up whenever the unconnected one happens to come into view while moving the camera.