I've seen that message before, and I'm not sure if we can actually suppress it or not. I'm not entirely sure that Excel is the owner of the message, (maybe the OS is?) although the wording would lead you to believe so.
I wonder if, to avoid situations like that, it might be better to combine the files more frequently? Say after every 10 documents merge them, then continue priting more? I don't think it would help the speed (in fact it would probably make it slower) but with less files to work with at a time maybe it would improve the stability?