The MOVE tool since 4.9.37, in Voxel Mode, is basically using Surface mode unless you check VOXELIZE IMMEDIATELY (old voxel mode, where it voxelizes the model with every adjustment...which creates a pause at the end) in the Tool Options panel. Since it is working in Surface mode, effectively, it is recording that information on Sculpt Layers. This is the reason you get the warning.
Try this, go to the paint room and make a new PAINT layer and select it , then go back to sculpt and try.
I think i was confusing you maybe.. I was refering to paint layers being invisible whilst you were refering to sculp layers?
Even if you have not done any painting yet ,it seems to be connected. It sorted it out fror me.