The warning that you are seeing is telling you that you cannot make changes to the theme component’s code directly on the Discourse site. The warning is shown because it used to be possible to edit this type of theme component directly on Discourse. That caused all sorts of issues.
To use the theme component, all you need to do is add it to your theme. I see in the screenshot that you posted that you have added the theme component to your site’s default theme. As long as your user is using the site’s Default theme, you should see category banners on the site.
Use the Discourse Category Banners Themes Settings section to configure the component for your site.