I am not enitrely sure of the exact conditions you must fulfill - in particular, which stage the Sentry Array must be built up to. I've only gone through a single full game with Utopia enabled so far, and I did build the Sentry Array, and it was fully built out to its final stage, and I did get the warning. That's the extent of my experience.

It called out a particular system, in the vein of some technobabble followed by "something very bad is going to happen here". Lo and behold, the Unbidden arrived precisely in this system maybe one or two years later (but to be fair I did not pay attention to the time at all, as I was already fighting a different war).

Shortly after the Unbidden arrived, i got another pop-up with a scan report produced by my Sentry Array, which revealed details such as that their ships are structurally weak but heavily shielded, and that their weapons are weak against shields. Basically a Cliff's Notes version on how to counter-fit against them. The report also included a flat +5% damage bonus empire modifier against Extradimensionals.