If you publish an SPF record and use the a mechanism, but your domain doesn’t actually have an 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 the case if you’re only using your domain for email.