The Google AdWords Help thread has an advertising asking why the Ads Diagnostic tool within the AdWords console is giving off this message:

AdWordsPro Sarah, from the Google AdWords team had an interesting response. Let me quote the whole response:

I still don’t understand why you would need to turn on the content network to see this data on the keyword level. Maybe I am misunderstanding the issue here. Maybe this advertiser is trying to look for the content network stats on a keyword and doesn’t know it?

Forum discussion at Google AdWords Help.