Hi @MarinaL, literally came here to post about the same thing. We work on BNG and since upgrading to the lastest version of ArcGIS Pro we're now getting these warning messages. Equally, we have tried following the steps that lead to my.esri.com and find the Coordinate System Data file to download, but there's nothing of that sort in there. In this, we would also appreciate support from Esri here.

In our case, every time we open a map and see the warning, we update the transformation in the map properties to OSGB 1936 to WGS 1894 NGA 7PAR, which works well for us. World Imagery Base map aligns well with everything else we overlay that has BNG as its CRS.
Now, for us, the other issue, and what I'm hoping to find a solution for, is that we see no way of having the NGA 7PAR transformation as a default for all maps that we create in ArcGIS Pro. Instead, it will default back to that OSTN15 and generate a warning message. This happens, for example, when we add and open to Pro a layout from our list oflayout templates. It would also happen if we add a layer "to a new map".
Any support or ideas on how to work around this issue, please?
Thank you : )