For those using Kotlin who are following the docs package conventions:
In pure Kotlin projects, the recommended directory structure is to follow the package structure with the common root package omitted (e.g. if all the code in the project is in the "org.example.kotlin" package and its subpackages, files with the "org.example.kotlin" package should be placed directly under the source root, and files in "org.example.kotlin.foo.bar" should be in the "foo/bar" subdirectory of the source root).
IntelliJ doesn't support this yet. The only thing you can do is to disable this warning, and accept that the IDE will not help you with refactorings when it comes to changing folders/files structures.