My document had a version of Futura in it, but I have removed all occurences of Futura from the file. This pop-up message will not go away regardless of what I do. I cannot work like this. Also, the message doesn't tell me how to fix it. The options are Cancel, Skip and Done, none of which when clicked make it go away.
Try saving the file as IDML, and reopen the IDML. Probably will get rid of your phantom font.
see Remove minor corruption by exporting and if that doesn't work, run Find Font and substitute something already in the file that isn't missing (if the Futura appears in the list) as it could be applied to some white space or a paragraph return, or try Find/Change and look for the font and replace it.