I have experimented extensively with this issue (ArcGIS Pro 2.8 and probably similar response in Enterprise Desktop 2.9.2). Here are some of the findings:
1) with a jpg file, it does not matter if the CS is unknown or not, the warning 71153 will be generated.
2) When the .jpg with unknown CS is raster exported to a .TIFF, .JP2 or .BMP, there will be no warning generated.
3) If the first file is added is one from 2) above with no warnings, and .jpg files with unknown CS are added, there will be a warning generated.
4) if the first file is one from 2) above with no warnings and .jpg files with known CS are added, there will be no warning generated.
5) if a .TIFF, .JP2 or .BMP, are added to a mosaic dataset from 2) there is no warning. If a .jpg with a known CS is added, it will generate a warning. The offending raster is selected in image 1.
6) if additional files .jpg files are added thereafter, it will generate a warning. The offending raster are selected in image 2.
So one way to avoid the 71153 warning is to avoid adding a .jpg to the Mosaic Dataset in the current ArcGIS Pro version.