Are you setting the Campaign Objective as "Conversion"?
For beginner who has just started with Facebook Ads, I suggest you set this field to "Traffic" and turn on Campaign budget optimization. The ads will then be optimized to drive as much traffic as possible to your store.
What you should do is:
About the warning, there's no problem. You can still go on and start your ads.
The error is because you dont have any purchase event trigged in your pixel to optimise your ad for.
If you are running the "Conversion" objective campaign then your ad set should be optimised for any event from your pixel. So, for now if you want to launch your 1st campaign then optimise for Add to Cart or View Content event, then when you get your 1st purchase triggered in your pixel then edit the adsets and optimise them to purchase.
Or another theory could be your pixel is not properly setup on your store so that its not tracking Purchase event. for that i would suggest a Shopify App to you called WinAds.
They have a really easy 1 click pixel installation and Catalog setup and there customer support for any pixel related issue is amazing.
do check them out - https://apps.shopify.com/win-ads-manager
No, they didn't miss a step, they can continue setting up their campaign.
Facebook is just warning them that the ad may not perform as well because they've selected an optimization event that didn't receive any (or too low) number of those events lately.