Have you tried using it anyway after clicking on the message to make it go away? If it still doesn't work, then it doesn't work; but if it does, then all you need to do is ignore the message.
The reason being, I use the iPad CCK to plug a USB keyboard into my device. The warning message pops up, but after I click it away, I find that I can use the keyboard perfectly fine, including function and arrow keys. It doesn't work for every keyboard I have, but as long as it works for at least one that's good enough for me.