You may see the above warning message when you use the configuration pin (also known as dual purpose pin) because the internal clamp diode is not supported on configuration pins in Cyclone® III and Cyclone IV devices. The dual purpose configuration pins do have PCI clamp diode in user mode and that the need for external clamp diodes are to protect the device when there is an overshoot from the configuration device.
The external clamp diode is required if the voltage overshoot might exceed the recommended maximum limits.