Swap in the thicker cushion. That alert means your eyes are sitting closer to the displays than the headset wants, and the documented fix is the cushion marked with a plus, so N+ or W+ depending on which seal you have. The one that arrived fitted is the thinner standard cushion, and it is the right answer when the alert says the opposite, that your eyes are too far away.
Will it change how the headset presses on your cheeks? A little, yes, because you are changing the distance between your face and the glass. Give it a couple of sessions before you judge it. The alert going quiet is the main sign you picked right, but also check that your lashes are not touching the lenses, that no light is bleeding in around the seal, and that you are not developing a pressure spot on your nose bridge. If the alert keeps coming back after the swap, the cushion is not the problem and you should be looking at the seal size instead. Apple keeps this one short: https://support.apple.com/en-us/120051