Hi Wasfi,
The error is coming from the ProxySG itself. The error is saying that the the SG VM is configured with a different amount of memory than as prescribed by the VM model size. If you open the SG Admin Console and click on the "Warning" icon in the top right, it will take you to Reports > Health Monitoring. From there you can scroll down and see Configure Memory in a warning state. It will tell you why it feels the VM does not have the correct amount of resources.
You can see from my environment that the warning is that I have allocated 8GB to the VM when 16GB is the minimum recommendation.

To my knowledge, you cannot override this specific warning, and you would need to resize the VM to the appropriate parameters to get rid of the warning.