You should really provide more information.
Should the OS be genuine? Did you pay for the license?
In any case, yes, you should be worried. Case a) you paid for the license - you've been duped.
Case b) you didn't pay - well, if you can't trust your operating system, you'll never know what it does without you knowing.
Modifying your OS to say it's genuine might get rid of the message, but it will not make it legal or trustworthy.
In case you're asking if Microsoft cares... no.