What do the data health flags mean?

Each one names a place where a number would otherwise be a guess: products without a unit cost, orders whose parcels have no weight, destinations no shipping zone claims, markets with no EPR rate entered, and ad sources that are not connected.

They are not warnings for their own sake. Each flag links to the page that fixes it, and each one tells you which line of the statement is affected while it is open, so you can judge whether today's figure is good enough for today's decision.