Since TempDB is often times bottlenecked by the disk I/O, it is generally recommended that TempDB be on a drive of its own. If you are receiving this message, it is an indicator that your TempDB is on the same drive as your primary database files. This leads to competition between your data files, and your TempDB for precious IO. Additionally if the TempDB grows more than expected, it could cause the drive with your data files to fill up resulting in data loss.
The Quick Scan Report detects when TempDB is on Same Drive As Data Files and reports on that.
If you need help configuring TempDB or anything else with your SQL Server, you can contact me (Steve Stedman) through my SQL Server consulting business Stedman Solutions, LLC.