Classic applications can be made visible in Lightning, but they don't offer the same capabilities as Lightning apps. You can "upgrade" (really, clone) a Classic App into a Lightning App to add those capabilities - specifically, the user's ability to customize the tab set. The little "i" icon is meant to surface this fact, not to indicate any serious error that needs attending to.
It so happens that the Salesforce Chatter app is a Classic app - I see the same behavior in my Developer edition org. You can disable the application from visibility in Lightning Experience if necessary. The Chatter tab can be (and is) included in other Lightning applications. Because Salesforce Chatter is a built-in app, it doesn't appear that you can "upgrade" it in the same way you can other classic apps, so the message is a bit misleading.
The "Getting Started with Lightning Apps" Trailhead has good information on what is offered on the Lightning app side. Note this caveat:
Help users get the most out of personalized navigation by upgrading your Classic apps to Lightning apps. Users can’t personalize the navigation bar of Classic apps in Lightning Experience.