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This is not an error but a warning. The ROS packages that you installed include bindings for RTI Connext However this is a warning that if they do not find RTI Connext installed that the implementation will not be available because the underlying library is not available.
There are instructions for installing additional DDS implementations here: https://index.ros.org/doc/ros2/Installation/DDS-Implementations/
There's more documentation on how to use Multiple RMW implmentations (that usually build on top of the DDS implementations) here: https://index.ros.org/doc/ros2/Tutorials/Working-with-multiple-RMW-implementations/
But in general most users will usually use the default RMW implementation and can ignore the above message.
Related Questions https://answers.ros.org/question/323501/problem-with-ros2-installation/