The warning message appears when the Destination Address is not saved in your address book.
You may proceed as normal with the withdrawal as this is just a warning.
It is possible to add and edit destination addresses to your account in the Addresses section (https://www.bitmex.com/app/addresses).
These addresses will appear in the drop-down menu on the Withdraw page:
Once an address has been added to your address book, there is an option to skip email confirmations for that specific addresses.