‘Asking for cache data failed’ — how serious is this message?

Nearly all modern harddrives have an onboard RAM cache to speed up operation. Since a RAM cache could be lost on an unexpected power outage, the existence, size and mode of this cache should be queryable from the host computer.

Older drives do not implement (either not correctly or not at all) this query, so the host "fails, asking for cache data". The host then assumes, that the cache is in write-through mode and continues.

If the drive behaves well, this is no problem whatsoever - if it does not, then an unexpected power outage might lose the last few writes. Most likely you would have already learned about that, as it would lead to more unexpected messages and maybe an emergency mode from time to time.