This is not exactly a Visual Studio warning, it is a warning created by the FxCop tool. What you can run from the VS Analyze menu. FxCop is a static analyzer that looks for common errors in a .NET program that the compiler will not flag. Most of his warnings are rather obscure and rarely are really serious problems, you need to consider this as "did you think about it?". kind of tool.
The small fact that he is trying to remind you is that the Exception class implements ISerializable and has the [Serializable] attribute. Which is a rather complex requirement, it makes the base Exception object serializable in application domains. Necessary because an exception does not occur from MarshalByRefObject. And you must enable the code that you run in another application domain in order to throw exceptions that you can catch.
So, FxCop notes that you did not do the same for your own derived Exception class. This is really a problem only if you ever intend to have code that causes an exception to be thrown in another application domain. FxCop is not smart enough to know if you do this, it can only remind you that it will go wrong when you do it. This is quite unusual, so feel free to ignore the warning when you still don't know whether you will or not, or if it all sounds like Chinese to you.
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