It is telling you that your heir will not have all the titles you currently have, and is thus mostly informational. If you are a duke, you could grant your second son the county he stands to inherit to make the alert go away, but there really isn't reason to do so unless you are over your demense limit by a lot. Alternatively, you could change your inheritance laws to something that keeps lands together (i.e. anything except gavelkind, elective gavelkind, and elective with multiple king+ titles). As for whether you should do anything, that depends on your goals.