This message has nothing to do with the fact these are Freehand files. It means Illustrator has detected the use of both spot colours and transparency in the file. It is warning you that if you place that file in another program and then output from that program using only process inks (converting spot colour to process) you may not like the result. If you intend to output using the spot colour inks defined in the file, no worries. If you intend to output to process CMYK only you should convert the spot colour swatches to global process swatches in the Illustrator file.