In my experience, you only get this message when you close an application. Are you closing Excel before returning to Access? If so, don't close it and see if you no longer get the message.
EDIT after trying instructions for producing the error:
The only way to avoid the error message is to turn off notifications before entering design view, as in:
DoCmd.SetWarnings False
And you'd want to turn it back on after you are done with your editing.
But there's no place to run this code, since you're just using the Access UI to edit a query.
I don't quite understand why this warning is considered a problem. Maybe you're pasting, going back to design view, changing criteria, running again, pasting again? If so, turning SetWarnings off might do the trick.
If you wanted it to happen automatically, you could conceivably use the Screen.ActiveDatasheet object to do this. What you'd want to do is write a function:
Public Function ChangeWarnings(bolSetting As Boolean) As Boolean
DoCmd.Setwarnings bolSetting
End Function
...then when you open your query in datasheet view, in the Immediate window, type these two lines:
Screen.ActiveDatasheet.OnActivate = "=ChangeWarnings(False)"
Screen.ActiveDatasheet.OnDeactivate = "=ChangeWarnings(True)"
You could also certainly write code that sets this up for you.
One note -- it doesn't "stick" for the Screen.ActiveDatasheet object when opening or closing a different one. It applies only to the Datasheet that is active when you assign the event actions.