After acknowledging this dialog box (by pressing OK) i am presented a page with this text:
/^(([Ff][Tt][Pp]|[Hh][Tt][Tt][Pp][Ss]?):\/\/[\w\-\.]+(:\d+)?([\?\/][\/\w\.\+\=\:\-\?\%&]*)*)$/
Since this looks like a UNIX expression, I think this message is probably due to having some ',' within it.
When a ',' is also allowed people can link to specific pages within their site without having SEF enabled.