First of all, please use the clrmamepro forum.
Be sure you got Profiler->Options->Parse Disk Merge Tags enabled and you're using a datfile which uses them...preferable a direct MAME data import instead of a 3rd party dat.
Then of course you should not use unmerged sets...otherwise you'd need to double the file.
So, generally, the message means that a file is missing but cmpro found it somewhere in your paths and is able to fix it directly but you're right, normally you don't need to double it....depending on the used settings/database
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