When I first open an existing project, I get an Error Message: "File format not supported". After a few seconds all the windows open up and I can continue to edit. My question is will this "File format not supported" haunt me later or shall I continue to edit as I am doing? Why does this error message come up? All the current footage is shot on same camera, the Canon 5D Mark III at 23.98 time code rate, 1920 x 1080.
Quite simply it means just what it says - a file you have imported or are trying to import is not compatible with Premiere Pro.
Once you open the project, are all the assets online? Check every file in every bin, not just the sequence.