It is quite normal after a fresh installation if the message in the status bar says set up or format SD card.Wow, this ColtOS is wonderful! Took me many trials before it would work with my portable SD card. Had the same trouble with AEX, requiring the card to be reformatted, which I certainly do not want to do. But I got AEX to work with my card by dirty flashing it upon a restored image that was okay with the portable card (namely, Danil's j33 build of LOS-16). And just now, I finally got ColtOS to recognize my card by dirty flashing it upon AEX v7.3, didn't even wipe dalvik/cache. This somehow sort of grandfather'd in my card, I guess; along with lots of other settings. ColtOS is the best ROM yet, many thanks @mernurisha !
If your SD card is recognized by the system, then simply delete this message and you do not need to do anything else.
I always get this message in the status bar when I install a new rom. For the first setup of the rom this is normal.