Well, not sure what to tell you then. That message will show up if you are using a shader that needs normals, but the panel is set to not generate them.
I just did a simple test:
1. New scene.
2. ALT+SHIFT+T, chose a Brick texture and Brick material. I saw the same message at this point.
3. Selected UIRoot, checked the "normals" checkbox, message went away.
4. Added a lightsource to verify that the widget is now lit. It was.
The only explanation for this in your case remaining is that you forgot something. You likely have something else using a non-unlit shader.