Disable the "Connection lost" message when Bluetooth keyboard out of range

You can do this by disabling the Bezel UI, here are instructions on how to do so from an answer from another question related to that:

To turn off bezels for this user until next login: launchctl unload -F /System/Library/LaunchAgents/com.apple.BezelUI.plist To undo, change unload to load, or just log out and back in.

For macOS 10.12 Sierra: Disable System Integrity protection, then: launchctl unload -F /System/Library/LaunchAgents/com.apple.OSDUIHelper.plist Don't forget to enable System Integrity protection when you're done.

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To turn off bezels indefinitely for this user: launchctl unload -wF /System/Library/LaunchAgents/com.apple.BezelUI.plist

For macOS 10.12 Sierra: Disable System Integrity protection, then:
launchctl unload -wF /System/Library/LaunchAgents/com.apple.OSDUIHelper.plist You can now enable System Integrity protection again -- your settings will persist.

To undo, change unload to load.

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To turn off bezels indefinitely for all users: sudo defaults write /System/Library/LaunchAgents/com.apple.BezelUI Disabled -bool YES

For macOS 10.11 Sierra: Disable System Integrity protection before doing the above.

To undo, change YES to NO, or: sudo defaults delete /System/Library/LaunchAgents/com.apple.BezelUI Disabled

For macOS 10.12 Sierra: Disable System Integrity protection, then: sudo defaults write /System/Library/LaunchAgents/com.apple.OSDUIHelper Disabled -bool YES You can now enable System Integrity protection again -- your settings will persist.

To undo, change YES to NO, or: sudo defaults delete /System/Library/LaunchAgents/com.apple.OSDUIHelper Disabled

Users can override this global setting using the two methods above.

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More info: launchctl is the command-line interface to launchd, the program that manages services and jobs on Mac OS.

• To reverse any of the above actions, just change unload to load.
• -w means write preference to disk so that it will be used for subsequent logins
• -F means force un/load regardless of the global Disabled key

You can read more about it in man launchctl.