Hi,
When creating a category listing menu, you have to associate a product listing module, else when clicking on a category you will not see any products inside.
But as you said, you have to associate only one module per menu, and once it is done you shouldn't have that message again.
Please try to re-install HikaShop over your current install, there was maybe a mess when installing the first time.
If problem is not solved after re-installing, please give us site access, you can send them through our contact form, don't forget to give the url of that topic in the message