If I recall correctly, that message indicates the jailed user (as it exists in the main
/etc/group files outside the jail) is a member of a group that has no name defined for it within the jail.
The effect within the jail is that any processes will not be able to refer to that group by name and will usually show the GID number instead.
This might confuse users that are unfamiliar with this behavior, for example they might confuse the GID number with the file size in a "ls - l" listing. But if you can live with that, you can ignore it - it is essentially just a warning.
If the group membership is unnecessary, you should remove it or replace it with a dummy group created for the jailed user (as it's a basic requirement that a user must be a member of at least one group, to allow that group to be used as the group owner of any files created by the user).
If the group is necessary but you don't want to disclose its real name to processes within the jail, you can certainly use a non-descriptive dummy name for that GID in the local
etc/group file within the jail. All the filesystem functions will go by the GID numbers anyway; the name is for humans only.