If one executes 'sudo depmod' on a more recent TC system (starting with 4.4rc1) and no kernel module extension is installed (ignoring the OSS one as it doesn't follow the convention) then the reported warning message will appear.
As I had written
here the reason is that the "/usr/local/lib/modules/$( uname -r)/kernel" directory is now missing from the initrd. I don't see any harm resulting from this, but the "fix" is equally trivial and could be implemented during the current 4.5 RC phase.