First off, you should NEVER EVER, EVER click the "yes to all" button unless you have no intention of saving your mod. As modding goes there is no quicker way to accidentally screw up your mod. Even if you have to click through 30-40 warnings, just click through (or press enter) and let the warning log compile so that you can look it over and get a full list of everything to pick and choose about what needs to be fixed. In the case of this particular error, you will want this log.
The inter-grid connections warning refers to when any cell has too many connections between pathnodes. If a cell has too many connections, NPC pathing through that cell can become slower or require more processing. The error in this case likely occurred because you were changing the pathgrid settings for cells which exist within a loaded .esm, with a .esp. In some cases, this leads to a duplication of nodes within that cell, and subsequent duplication of connections.
I'm not quite sure on a perfect method for fixing this problem, but the closest I've come has been by removing pathgrids from every cell I've edited using
world > path grid generation > Remove from active cell. Adding in any red or blue nodes I need, and then using the
Generate active cell command from the same menu. From there, I kinda forget. I think what I did was just delete any entries related to the cells which border the cells I just edited (since nodes in one cell link to nodes in another cell). But, this doesn't always seem to work well so it is suggested that you make backups before beginning and a few times along the way.