I have worked out why I have this message: when Raspbian prompted for system update, I accepted it. This over-wrote the RT kernel!
The kernel was reversed to the PREEMPT one. I thought it was something to do with how I built LinuxCNC ( I followed the official instructions to the letter ). So yesterday, I uninstalled LinuxCNC from my backup card, downloaded a installed the LinuxCNC *.deb 2.9.4.
I got PnCConf to tune the X-axis... I updated the system when prompted. And this message appeared again.