I always get the message after I make a closed boundary polygon, and I know it's a closed boundary, but I know how to fix it. It just bugs me sometimes when the message pops up when I add it as a boundary under the definition of a surface.
Somewhere in the pline there is funky geometry. This could be crossing objects, null or psuedo nodes, zero length objects, incorrect closure when creating the pline and more.
Quick fix. Isolate the border layer and use the boundary command to create a new pline. Erase the old, add the new to the srf def.
Readup on the MAPCLEAN command. This will fix many geometric errors in the linework.
When I have a self-looping boundary (apparently closed) I always _EXPLODE it up to line level, then I _FLATTEN it to the ground, then a deep _MAPCLEAN in order to join automatically the chunks, finally I _MOVE it to the original height.
It takes some minutes, but satisfaction is 100% guaranteed.