Macaulay,
Is your horizon agent version is 7.1.x?
If it is that, please use 5.5.3 or 5.5.4 horizon Mac client.
7.1.x agent doesn't support per monitor dpi sync, so using 8.x horizon Mac Cient will pop up such warning.
To get the best user experience, suggest to upgrade the server and agent to 8.x.
7.1.x has limitation to support DPI Sync in multiple monitor.
Thanks & Regards
Zhenghua