If D: does not exist (running from Dosbox without any CD mounted) or D: is not empty, that message doesn't show. It's strange because it didn't leave data on the CD nor had CD audio tracks, and choosing fail allows the game to run. I've tried cleaning both Steam and GoG releases, but it always try to read from CD (showing the abort, retry, fail message). I had to use tppatch with some games (strange that Redneck Rampage Route 66 needed to be patched to run), but I've also had some minor issues/questions. Also, I have a Dosbox folder in my Ryzen machine so I wanted that those games installed on that folder. The goal was cleaning (getting rid from all the stuff that Steam and GoG puts into the games to run them with dosbox and custom launchers) and avoiding the use of CDs or CD images. I've (succesfully) copied/cleaned Duke Nukem 3D, Shadow Warrior, Blood, Redneck Rampage and Heroes of Might and Magic 2.
I've been running some experiments with (mostly) BUILD games, in a laptop running MS-DOS 6.22.