It means that affinity is not implemented in libgomp. The message is printed here: https://github.com/gcc-mirror/gcc/blob/a9fc1b9dec92842b3a978183388c1833918776fd/libgomp/affinity.c#L51

The whole file looks like a dummy implementation.

An alternative is to use a different OpenMP implementation. The affinity implementation in LLVM seems functional: https://github.com/llvm/llvm-project/blob/f87109f018faad5f3f1bf8a4668754c24e84e886/openmp/runtime/src/z_Windows_NT_util.cpp#L598