Unfortunately you can't directly remove the Insights warning. The PageSpeed tool can't tell that you don't own the facebook.net domain and therefore have no control over the response headers.
Presumably Facebook have given this file a short(ish) cache expiry time so they can deploy changes to it and have them take effect pretty quickly.
I say you can't "directly" remove the warning because there is a fudgey workaround that's been posted on Stack Overflow. It's not a very nice workaround though and a lot of people (myself included) would say it's massive overkill and creates more problems than it solves.
1 - Fudge it
You could create a job somewhere that copies the Facebook script to your server or a suitable CDN on a regular basis - maybe every 20 minutes as that's the current header expiry that Facebook is using. When you serve it you could increase the cache expiry time in the header to whatever you want. This would remove the warning from the PageSpeed report.
However, I think this is a really bad idea for a couple of reasons...
- If Facebook release a breaking change to the script you'll have old versions of it sitting in browser caches for a long time - longer than Facebook intended.
- You'd be introducing a number of things that could go wrong. Your job could fail, it could create a blank file, or no file at all! It might not run for several days and miss vital updates to the script.
I call this option a fudge because it is. It's not actually fixing a problem, because in this instance there isn't really a problem to fix.
2 - Remove it
Do you need to load the Facebook script? Can it just be removed?
If you need to load it to deliver a particular UX you should just expect it to affect your performance score and move on.
3 - Ignore it (Recommended)
PageSpeed is a useful tool and can raise some important performance issues when it comes to maximizing the efficiency of your website, but you should use PageSpeed and other similar tools only as a guide.
Sometimes resolving all of the "problems" these tools raise will just make more problems elsewhere. Fix the important stuff that you have control over.