When loading/appending several videos from within a script and getting a warning, it is not possible to know which video that warning is about.
You might benefit from using the --nogui option which would automatically accept the dialog ("click" on "Yes") for you. On the other hand, this would waste a lot of time if the only thing you are going to do with the video is to reencode it in full.
You would need a recent nightly build for that (which is advisable anyway).
Putting the file name (the full path) of the video into the title of the message box is not possible with the current GUI toolkit in Avidemux. Inserting it into the text would be possible, but I am not fully convinced that this would be very useful.