This is expected behavior due to how Git works.
Note, that this is not an error message, but information. The resolution is to simply click on "Create and Switch":
The background is that the references of the remotes ("refs/origin/...") cannot be checked out for modification, even if this is all on the local repository. The "Create and switch" button will create a new branch (which is just a new reference) locally and specify that it should be associated with the remote branch.
This association gives git targets for the commands "push" and "pull". The equivalent on the git command line is:
git checkout -b <branch-name> -t <remote-name>/<branch-name>
See also this page on the Git documentation for the background:
If there is an error when switching branches, then you have modified files in your working directory. Commit or Stash your changes to continue.
