I have this message:
your site doesn't have keywords meta tag!
What does that means?
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I don't know where do you see this message but for SEO, no worries. The keywords meta tag doesn't take into account anymore by search engines.
You can read this article from Matt Cutts for more information.
Although the keywords are not used by Google, some other search engines may use it. So, it's not a horrible idea to include a keyword meta tag. It won't hurt - assuming they are correctly implemented. And although Google says they don't use it for search rankings, that doesn't mean they don't look at it as a clue to a site that is trying to use it inappropriately.