Mathias,
I'm pretty sure you can safely ignore this by selecting the option you mentioned. This is a newish feature in TMS of the latest NetWeaver versions (are you on 7.4?) where it checks all the support pack levels in the target system against the support pack levels recorded in the transport for the system of origin. Since it's unlikely that SAP's origin system where they created the transport files is on exactly the same SP levels as yours, this error is likely to be common.
In NetWeaver 7.01, this check isn't performed, so EhP4 customers, for instance, won't see this message and the import will just happen.
Cheers,
Matt