We will need a bit more information. Basically, we need the code that when we copy-paste it, we will get the error ourselves. Indeed, we would need the lines that load the dataset, the line that creates the model (this the ones that you gave us) and the lines that run the cross-validation that raise the error.
Indeed, the warning should be raised together with the error that was raised in the fold that gives more details. But if you provide us with the code that I requested above, we will be able to reproduce the problem and answer your question.