If you publish an SPF record and use the "a" mechanism, but your domain doesn't actually have a "A" record in place, then you'll see this warning.
Here's a sample SPF record that contains the "a" mechanism (the "a" is in bold):
v=spf1 a include:_spf.google.com ~all
The "A" DNS record is how you use the DNS to associate an IP address with your domain. The "AAAA" DNS record (also called "quad-A") is used to associate an IPv6 address with your domain.
If you don't have an IP address associated with your domain, then you shouldn't use the "a" mechanism in your SPF records. This might be case if you're only using your domain for email.