Attaching my ossec.conf and agent.conf. I know active response, for example, isn't configured in agent, but there it is, the conf that got me the warning, figured it will just ignore the sections that don't belong. The only thing I left out are a few IPs in whitelist. That's what I changed when it happend, added another IP, but I changed it again later and it was fine.
<ossec_config>
  <global>
    <email_notification>yes</email_notification>
    <email_to>root@localhost</email_to>
    <smtp_server>localhost</smtp_server>
    <email_from>oss...@xxx.xxx</email_from>
  </global>


  <syscheck>
    <!-- Frequency that syscheck is executed - default to every 22 hours -->
    <frequency>36000</frequency>
    
    <!-- Directories to check  (perform all possible verifications) -->
    <directories check_all="yes">/etc,/usr/bin,/usr/sbin</directories>
    <directories check_all="yes">/bin,/sbin</directories>

    <!-- Files/directories to ignore -->
    <ignore>/etc/mtab</ignore>
    <ignore>/etc/mnttab</ignore>
    <ignore>/etc/hosts.deny</ignore>
    <ignore>/etc/mail/statistics</ignore>
    <ignore>/etc/random-seed</ignore>
    <ignore>/etc/adjtime</ignore>
    <ignore>/etc/httpd/logs</ignore>
    <ignore>/etc/utmpx</ignore>
    <ignore>/etc/wtmpx</ignore>
    <ignore>/etc/cups/certs</ignore>
    <ignore>/etc/dumpdates</ignore>
    <ignore>/etc/svc/volatile</ignore>

    <!-- Windows files to ignore -->
    <ignore>C:\WINDOWS/System32/LogFiles</ignore>
    <ignore>C:\WINDOWS/Debug</ignore>
    <ignore>C:\WINDOWS/WindowsUpdate.log</ignore>
    <ignore>C:\WINDOWS/iis6.log</ignore>
    <ignore>C:\WINDOWS/system32/wbem/Logs</ignore>
    <ignore>C:\WINDOWS/system32/wbem/Repository</ignore>
    <ignore>C:\WINDOWS/Prefetch</ignore>
    <ignore>C:\WINDOWS/PCHEALTH/HELPCTR/DataColl</ignore>
    <ignore>C:\WINDOWS/SoftwareDistribution</ignore>
    <ignore>C:\WINDOWS/Temp</ignore>
    <ignore>C:\WINDOWS/system32/config</ignore>
    <ignore>C:\WINDOWS/system32/spool</ignore>
    <ignore>C:\WINDOWS/system32/CatRoot</ignore>
  </syscheck>

  <rootcheck>
    <rootkit_files>/var/ossec/etc/shared/rootkit_files.txt</rootkit_files>
    <rootkit_trojans>/var/ossec/etc/shared/rootkit_trojans.txt</rootkit_trojans>
    <system_audit>/var/ossec/etc/shared/system_audit_rcl.txt</system_audit>
    <system_audit>/var/ossec/etc/shared/cis_debian_linux_rcl.txt</system_audit>
    <system_audit>/var/ossec/etc/shared/cis_rhel_linux_rcl.txt</system_audit>
    <system_audit>/var/ossec/etc/shared/cis_rhel5_linux_rcl.txt</system_audit>
  </rootcheck>

  <global>
    <white_list>127.0.0.1</white_list>
    <white_list>^localhost.localdomain$</white_list>
(...)
  </global>

  <remote>
    <connection>secure</connection>
  </remote>

  <alerts>
    <log_alert_level>1</log_alert_level>
    <email_alert_level>7</email_alert_level>
  </alerts>

  <command>
    <name>host-deny</name>
    <executable>host-deny.sh</executable>
    <expect>srcip</expect>
    <timeout_allowed>yes</timeout_allowed>
  </command>  

  <command>
    <name>firewall-drop</name>
    <executable>firewall-drop.sh</executable>
    <expect>srcip</expect>
    <timeout_allowed>yes</timeout_allowed>
  </command>  

  <command>
    <name>disable-account</name>
    <executable>disable-account.sh</executable>
    <expect>user</expect>
    <timeout_allowed>yes</timeout_allowed>
  </command>  

  <command>
    <name>restart-ossec</name>
    <executable>restart-ossec.sh</executable>
    <expect></expect>
  </command>
                  

  <command>
    <name>route-null</name>
    <executable>route-null.sh</executable>
    <expect>srcip</expect>
    <timeout_allowed>yes</timeout_allowed>
  </command>


  <!-- Active Response Config -->
  <active-response>
    <!-- This response is going to execute the host-deny
       - command for every event that fires a rule with
       - level (severity) >= 6.
       - The IP is going to be blocked for  600 seconds.
      -->
    <command>host-deny</command>
    <location>server</location>
    <level>6</level>
    <timeout>1200</timeout>
  </active-response>

  <active-response>
    <!-- Firewall Drop response. Block the IP for
       - 600 seconds on the firewall (iptables,
       - ipfilter, etc).
      -->
    <command>firewall-drop</command>
    <location>server</location>
    <level>6</level>
    <timeout>1200</timeout>    
  </active-response>  

  <!-- Files to monitor (localfiles) -->

  <localfile>
    <log_format>syslog</log_format>
    <location>/var/log/messages</location>
  </localfile>

  <localfile>
    <log_format>syslog</log_format>
    <location>/var/log/authlog</location>
  </localfile>

  <localfile>
    <log_format>syslog</log_format>
    <location>/var/log/secure</location>
  </localfile>

  <localfile>
    <log_format>syslog</log_format>
    <location>/var/log/xferlog</location>
  </localfile>

  <localfile>
    <log_format>syslog</log_format>
    <location>/var/log/maillog</location>
  </localfile>
</ossec_config>

<ossec_config>  <!-- rules global entry -->
</ossec_config>  <!-- rules global entry -->

<ossec_config>  <!-- rules global entry -->
  <rules>
    <include>rules_config.xml</include>
    <include>pam_rules.xml</include>
    <include>sshd_rules.xml</include>
    <include>telnetd_rules.xml</include>
    <include>syslog_rules.xml</include>
    <include>arpwatch_rules.xml</include>
    <include>symantec-av_rules.xml</include>
    <include>symantec-ws_rules.xml</include>
    <include>pix_rules.xml</include>
    <include>named_rules.xml</include>
    <include>smbd_rules.xml</include>
    <include>vsftpd_rules.xml</include>
    <include>pure-ftpd_rules.xml</include>
    <include>proftpd_rules.xml</include>
    <include>ms_ftpd_rules.xml</include>
    <include>ftpd_rules.xml</include>
    <include>hordeimp_rules.xml</include>
    <include>roundcube_rules.xml</include>
    <include>wordpress_rules.xml</include>
    <include>cimserver_rules.xml</include>
    <include>vpopmail_rules.xml</include>
    <include>vmpop3d_rules.xml</include>
    <include>courier_rules.xml</include>
    <include>web_rules.xml</include>
    <include>apache_rules.xml</include>
    <include>nginx_rules.xml</include>
    <include>php_rules.xml</include>
    <include>mysql_rules.xml</include>
    <include>postgresql_rules.xml</include>
    <include>ids_rules.xml</include>
    <include>squid_rules.xml</include>
    <include>firewall_rules.xml</include>
    <include>cisco-ios_rules.xml</include>
    <include>netscreenfw_rules.xml</include>
    <include>sonicwall_rules.xml</include>
    <include>postfix_rules.xml</include>
    <include>sendmail_rules.xml</include>
    <include>imapd_rules.xml</include>
    <include>mailscanner_rules.xml</include>
    <include>dovecot_rules.xml</include>
    <include>ms-exchange_rules.xml</include>
    <include>racoon_rules.xml</include>
    <include>vpn_concentrator_rules.xml</include>
    <include>spamd_rules.xml</include>
    <include>msauth_rules.xml</include>
    <include>mcafee_av_rules.xml</include>
    <include>trend-osce_rules.xml</include>
    <include>ms-se_rules.xml</include>
    <!-- <include>policy_rules.xml</include> -->
    <include>zeus_rules.xml</include>
    <include>solaris_bsm_rules.xml</include>
    <include>vmware_rules.xml</include>
    <include>ms_dhcp_rules.xml</include>
    <include>asterisk_rules.xml</include>
    <include>ossec_rules.xml</include>
    <include>attack_rules.xml</include>
    <include>openbsd_rules.xml</include>
    <include>clam_av_rules.xml</include>
    <include>bro-ids_rules.xml</include>
    <include>dropbear_rules.xml</include>
    <include>local_rules.xml</include>
  </rules>  
</ossec_config>  <!-- rules global entry -->
<agent_config>
  <global>
    <email_notification>yes</email_notification>
    <email_to>i...@xxxx.xxx</email_to>
    <smtp_server>mail.XXXX.xxx</smtp_server>
  </global>
</agent_config>
<agent_config name="www">
    <global>
        <email_from>ossec-...@xxxx.xxx</email_from>
    </global>
</agent_config>

<agent_config name="other_www">
    <global>
        <email_from>ossec-other_...@xxxx.xxx</email_from>
    </global>
</agent_config>

<agent_config>
  <syscheck>
    <!-- Frequency that syscheck is executed - default to every 22 hours -->
    <frequency>36000</frequency>
    
    <!-- Directories to check  (perform all possible verifications) -->
    <directories check_all="yes">/etc,/usr/bin,/usr/sbin</directories>
    <directories check_all="yes">/bin,/sbin</directories>
  </syscheck>
</agent_config>

<agent_config name="www">
  <syscheck>
    <directories check_all="yes">/var/www</directories>
  </syscheck>
</agent_config>
<agent_config name="other_www">
  <syscheck>
    <directories check_all="yes">/var/www</directories>
  </syscheck>
</agent_config>

<agent_config>
  <syscheck>
    <!-- Files/directories to ignore -->
    <ignore>/etc/mtab</ignore>
    <ignore>/etc/mnttab</ignore>
    <ignore>/etc/hosts.deny</ignore>
    <ignore>/etc/mail/statistics</ignore>
    <ignore>/etc/random-seed</ignore>
    <ignore>/etc/adjtime</ignore>
    <ignore>/etc/httpd/logs</ignore>
    <ignore>/etc/utmpx</ignore>
    <ignore>/etc/wtmpx</ignore>
    <ignore>/etc/cups/certs</ignore>
    <ignore>/etc/dumpdates</ignore>
    <ignore>/etc/svc/volatile</ignore>

    <!-- Windows files to ignore -->
    <ignore>C:\WINDOWS/System32/LogFiles</ignore>
    <ignore>C:\WINDOWS/Debug</ignore>
    <ignore>C:\WINDOWS/WindowsUpdate.log</ignore>
    <ignore>C:\WINDOWS/iis6.log</ignore>
    <ignore>C:\WINDOWS/system32/wbem/Logs</ignore>
    <ignore>C:\WINDOWS/system32/wbem/Repository</ignore>
    <ignore>C:\WINDOWS/Prefetch</ignore>
    <ignore>C:\WINDOWS/PCHEALTH/HELPCTR/DataColl</ignore>
    <ignore>C:\WINDOWS/SoftwareDistribution</ignore>
    <ignore>C:\WINDOWS/Temp</ignore>
    <ignore>C:\WINDOWS/system32/config</ignore>
    <ignore>C:\WINDOWS/system32/spool</ignore>
    <ignore>C:\WINDOWS/system32/CatRoot</ignore>
  </syscheck>
</agent_config>

<agent_config name="other_www">
  <syscheck>
    <ignore>/var/www/usage</ignore>
    
<ignore>/etc/openvpn/servers/server-other_www/logs/openvpn-status.log</ignore>
  </syscheck>
</agent_config>

<agent_config>
  <rootcheck>
    <rootkit_files>/var/ossec/etc/shared/rootkit_files.txt</rootkit_files>
    <rootkit_trojans>/var/ossec/etc/shared/rootkit_trojans.txt</rootkit_trojans>
    <system_audit>/var/ossec/etc/shared/system_audit_rcl.txt</system_audit>
    <system_audit>/var/ossec/etc/shared/cis_debian_linux_rcl.txt</system_audit>
    <system_audit>/var/ossec/etc/shared/cis_rhel_linux_rcl.txt</system_audit>
    <system_audit>/var/ossec/etc/shared/cis_rhel5_linux_rcl.txt</system_audit>
  </rootcheck>

  <global>
    <white_list>127.0.0.1</white_list>
    <white_list>^localhost.localdomain$</white_list>
(...)
  </global>

<!--
  <remote>
    <connection>secure</connection>
  </remote>

  <alerts>
    <log_alert_level>1</log_alert_level>
    <email_alert_level>7</email_alert_level>
  </alerts>

  <command>
    <name>host-deny</name>
    <executable>host-deny.sh</executable>
    <expect>srcip</expect>
    <timeout_allowed>yes</timeout_allowed>
  </command>  

  <command>
    <name>firewall-drop</name>
    <executable>firewall-drop.sh</executable>
    <expect>srcip</expect>
    <timeout_allowed>yes</timeout_allowed>
  </command>  

  <command>
    <name>disable-account</name>
    <executable>disable-account.sh</executable>
    <expect>user</expect>
    <timeout_allowed>yes</timeout_allowed>
  </command>  

  <command>
    <name>restart-ossec</name>
    <executable>restart-ossec.sh</executable>
    <expect></expect>
  </command>
                  

  <command>
    <name>route-null</name>
    <executable>route-null.sh</executable>
    <expect>srcip</expect>
    <timeout_allowed>yes</timeout_allowed>
  </command>

  <!-- Active Response Config -->
  <active-response>
    <!-- This response is going to execute the host-deny
       - command for every event that fires a rule with
       - level (severity) >= 6.
       - The IP is going to be blocked for  600 seconds.
      -->
    <command>host-deny</command>
    <location>local</location>
    <level>6</level>
    <timeout>1200</timeout>
  </active-response>

  <active-response>
    <!-- Firewall Drop response. Block the IP for
       - 600 seconds on the firewall (iptables,
       - ipfilter, etc).
      -->
    <command>firewall-drop</command>
    <location>local</location>
    <level>6</level>
    <timeout>1200</timeout>    
  </active-response>  
-->
  <!-- Files to monitor (localfiles) -->

  <localfile>
    <log_format>syslog</log_format>
    <location>/var/log/messages</location>
  </localfile>

  <localfile>
    <log_format>syslog</log_format>
    <location>/var/log/authlog</location>
  </localfile>

  <localfile>
    <log_format>syslog</log_format>
    <location>/var/log/secure</location>
  </localfile>

  <localfile>
    <log_format>syslog</log_format>
    <location>/var/log/xferlog</location>
  </localfile>

  <localfile>
    <log_format>syslog</log_format>
    <location>/var/log/maillog</location>
  </localfile>
</agent_config>


<agent_config>  <!-- rules global entry -->
  <rules>
    <include>rules_config.xml</include>
    <include>pam_rules.xml</include>
    <include>sshd_rules.xml</include>
    <include>telnetd_rules.xml</include>
    <include>syslog_rules.xml</include>
    <include>arpwatch_rules.xml</include>
    <include>symantec-av_rules.xml</include>
    <include>symantec-ws_rules.xml</include>
    <include>pix_rules.xml</include>
    <include>named_rules.xml</include>
    <include>smbd_rules.xml</include>
    <include>vsftpd_rules.xml</include>
    <include>pure-ftpd_rules.xml</include>
    <include>proftpd_rules.xml</include>
    <include>ms_ftpd_rules.xml</include>
    <include>ftpd_rules.xml</include>
    <include>hordeimp_rules.xml</include>
    <include>roundcube_rules.xml</include>
    <include>wordpress_rules.xml</include>
    <include>cimserver_rules.xml</include>
    <include>vpopmail_rules.xml</include>
    <include>vmpop3d_rules.xml</include>
    <include>courier_rules.xml</include>
    <include>web_rules.xml</include>
    <include>apache_rules.xml</include>
    <include>nginx_rules.xml</include>
    <include>php_rules.xml</include>
    <include>mysql_rules.xml</include>
    <include>postgresql_rules.xml</include>
    <include>ids_rules.xml</include>
    <include>squid_rules.xml</include>
    <include>firewall_rules.xml</include>
    <include>cisco-ios_rules.xml</include>
    <include>netscreenfw_rules.xml</include>
    <include>sonicwall_rules.xml</include>
    <include>postfix_rules.xml</include>
    <include>sendmail_rules.xml</include>
    <include>imapd_rules.xml</include>
    <include>mailscanner_rules.xml</include>
    <include>dovecot_rules.xml</include>
    <include>ms-exchange_rules.xml</include>
    <include>racoon_rules.xml</include>
    <include>vpn_concentrator_rules.xml</include>
    <include>spamd_rules.xml</include>
    <include>msauth_rules.xml</include>
    <include>mcafee_av_rules.xml</include>
    <include>trend-osce_rules.xml</include>
    <include>ms-se_rules.xml</include>
    <!-- <include>policy_rules.xml</include> -->
    <include>zeus_rules.xml</include>
    <include>solaris_bsm_rules.xml</include>
    <include>vmware_rules.xml</include>
    <include>ms_dhcp_rules.xml</include>
    <include>asterisk_rules.xml</include>
    <include>ossec_rules.xml</include>
    <include>attack_rules.xml</include>
    <include>openbsd_rules.xml</include>
    <include>clam_av_rules.xml</include>
    <include>bro-ids_rules.xml</include>
    <include>dropbear_rules.xml</include>
    <include>local_rules.xml</include>
  </rules>  
</agent_config>  <!-- rules global entry -->

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