Does the machine have homing switches at one end of each axis ? Did you home the machine to those switches before you jogged ?
When you home the machine and it locates those switches, the MACHINE DRO locations are set to zero. At this point, the machine knows where its travel possibilities END. Usually this would be bottom left corner for X and Y and UP for Z axis.
If you do not have home/limit switches, jog your machine as far as you can to the bottom left corner in X and Y, then up as high as you can in Z.
Then in the MACHINE DRO window, set all to ZERO. Then when you jog down and back up, it will not give you that message until it hits the machines ZERO location. The message is simply trying to tell you you are attempting to go beyond where it thinks it can go mechanically.