This is sort of a bogus warning, but it comes up when installing Exchange 2007 integrated with Service Pack 1.
"Setup cannot detect an SMTP or Send connector with an address space of '*'."
A quick search came up with a Microsoft KB article stating you need to add an SMTP Send Connector after setup. This task always needs to be done if you won't be using an Edge Transport role. I imagine when the Exchange installer comes integrated with Service Pack 2 this message will either be gone or at least more explanatory.