The warning appears in Plesk > Domains > example.com > DNS Settings after appending or modifying DNS records:
PLESK_WARN: Warning: The DNS zone was modified. If you would like to apply changes in the DNS template to this zone, either click the ‘Apply DNS Template Changes’ button on this page or go to the Server Administration Panel > Tools & Settings > DNS Template Settings > Apply DNS Template Changes and choose the ‘Apply the changes to all zones’ option.
It is the expected behavior.
Plesk detects that the domain’s zone does not match the DNS template and suggests to change the DNS template itself in order to apply it to all other domains too or to revert the change back to match the DNS template.
If the performed changes are supposed to be correct the warning might be safely ignored.
The feature for hiding such warning message is yet to be implemented in Plesk.
It is possible to vote for this feature on the UserVoice portal.
The top-ranked suggestions are likely to be included in the next Plesk updates.