To be honest, I can't answer promptly if you need to worry, though I'd say 90% no - you shouldn't worry.
I need to know a little about your setup to track this down. I do have srvr 2008 and 64 bit in house, but haven't tested the native service in that environment.
You may either contact me privately here, or, answer below if you like:
Under what account do you run?
Do you use UNC paths or local drive letters for queue, mail store etc?
Do you have any daemons loaded at all, in effect - what does your daemons.ini look like?
Did you install with GUI interaction, if so - detach.
-- All that said, the only reason for Mercury to display a message would be either if you have gui interaction, or a daemon that displays something upon initialization.