Nothing to worry about Whenever we set an error message like this, our core function ( Which display error messages like on that page ) sets a 404 header to handle front page not found pages.
Now this gets applied to admin as well, which we might can remove from there in next release, but in the meantime, you see all functions normally, just that u have a 404 header instead a 200
Simply join your list with a test account and make sure admin setting have "approval" turned on.
And you will see that page now not display an error ( notice ) but a table with members to be approved