It's a Anti-Mod Chip protection message that your seeing. This is a extra piece of code that is added to the boot up sequence of the game. The way around this is to patch the game using a PPF anti-mod protection patch via PPF-O-MATIC
http://www.megagames.com/psx/psx_patches.shtml
You can also use Action Replay codes if u can't find a patch that you need.
http://www.megagames.com/psx/psx_game_codes.shtml
It doesn't really matter if you use CloneCD with the Data Subchannel option ticked prior to burning, as the meesage will always be displayed. If use the above methods then your problems will be solved.
Hope this helps..