The warning reads: "AMD FX-4100 3.6GHz Quad-Core Processor does not include a stock CPU cooler. Adding a CPU Cooler to your part list is recommended."
When it says recommended it means essential. Unless you already have a cooler for it.
Alternativly the AMD FX-4300 does come with a stock cooler, is still 95W (I don't know if power usage is an issue for you) & is a little faster. On top of that it's only $1 more. I don't think that you'll find a cooler for less than that.