If the popup window to assign a planet as the sponsor of a shipyard happens to popup at the same time that another event does, even though you've assigned a sponsor to the shipyard, the game prompts you "Shipyard will have no sponsor. Continue?" Clicking ok gets you out of the window, but the warning shouldn't occur since you have in fact assigned a sponsor.
Events that this has happened to me include new mining resource, galactic event, and UP meeting. The screenshot below is when a new mine was established: