The “under” warning is in relationship to the program you have loaded. Have you loaded a new program, set your X,Y,and Z origins and are still getting the error?
When you home your machine you are creating a machine “home” or origin. When you set X, Y and Z zero you are creating a workpiece “home” or origin which is some offset from the machine origin.
Your programs created in CAM also have an origin (front left corner and top center are common locations, but technically it can be anywhere). The origin created by your CAM program and the workpiece origin should always be in the same place on your stock (front-left-top for example).
The “Z Under” warning is saying that when your program runs it will try to go below the absolute limit of the machine. In my experience this is most often caused by a mismatched workpiece origin.
For example, you have a piece of 18mm thick stock secured to the waste board. You set X zero at the left side of the stock, you set Y zero at the front of the stock, and you set Z zero at the waste board surface. However, in CAM the Z zero point was at the top of the stock! From the Onefinity’s point of view, your stock is in the same X and Y location but is 18mm down inside the waste board.