This is not an error. This is a warning. As it says you’re exporting a rule that contains Customer Display action but your export file does not include this action.
@jamesmack when exporting configurations like rules you need to include any associated actions if they are wanting to be taken with the export. This includes automation commands print jobs and templates if part of a setup.
You can transfer just the rule but if there are not the same actions etc on the install your going to import to the rule will not work.
(I may be wrong but I imagine that it would work on the action etc name, ie is your rule included stock/default actions etc it would work on the other install which is where using generic actions with [:FIELDTITLE] in the fields can help as these can easily be used by many rules doing different things but because the fields/options are defined in the rule it reduces individual actions each specific to a rule if that makes sense)