for this issue, select the user in truenas credentials > user.
then create the user’s home directory. If you had one already setup previously, you can simply select that and apply. If not, select where to place the home directory then it should create one named after the user. I’m not certain where might be a good location u have to figure that one out.
once you finished creating and setting up the home directory for that user, then you probably can proceed to generate the keys (which will then be stored in that users home directory, hence the warning)
Basically that is what that error message meant, when i was troubleshooting my own issue and found out