There are two reasons for this message.
1) You've not patched your RTW to the correct level. I've usually seen this error with RTW BI but I guess it would also be possible with RTW. There is only one version of RTW Alexander and that's 1.9.
2) When starting a 'faction specific' campaign you see the message:
Spoiler Alert, click show to read:
In order to avoid this make sure that on the 'Faction' Campaign menu you select the 'Click here to start (faction) Campaign....' (1) before clicking on the arrow (2) in the right hand corner.
Hopefully this is clearer from this screen:
Spoiler Alert, click show to read:
If you do that then you will see the next screen that allows some campaign options to be set up before actually starting the campaign.
Spoiler Alert, click show to read:
If you've done the second one you don't get any error messages when you exit the program.