It's just a warning .... in fact really no more than an fyi.
If Math::BigInt::GMP (which is much faster than Math::BigInt::FastCalc) can be found, then it will be used. Otherwise the slower Math::BigInt::FastCalc will be used, and the message you've quoted will appear.
I'm actually not sure if it's Math::BigInt::GMP or Math::BigInt::Pari (or both) that's being sought before resorting to Math::BigInt::FastCalc but line 6 of DH.pm would make that clear. (What does line 6 contain ?)
If you like to install the missing library, you'll get a faster SFTP and that message won't appear.