When I import separate scene file, I obtain such message.
What can I do?

You need to open following folder in menu Project>
“Work files”->”Textures”,
then select the file “Sky.jpg” (this file is missed), press the right mouse button and choose “Replace Footage”->”File”
find the file “Sky.jpg” in the folder “Textures”(on your HDD in the project folder), select it and press “open”
That is all – the missing texture is found.