Problem with lualatex, TeXGyre Pagella Math and mathbf

The warning appears with fontspec version 2.7h, but disappears with version 2.7i (just downloaded).

However, you should be using \symbf{R}.

You probably want \symbfup or \symbfit to get individual bold letters in math mode.

In unicode-math, \mathbf and \mathrm are intended more for complete words, such as \frac{\mathrm{RISE}}{\mathrm{RUN}}.

If you want to denote the Euclidean space ℝ², a good alternative is to use the blackboard letter \symbb{R} or, for compatibility, \mathbb{R}.