...
I see this when I run certain programs myself including
msconfig.exe. Strangely though the changes take even with the
warning.
Apparently you HINT that that's normal so I ask "isn't that why we
have administrator privileges in our accounts or is there a SUPREME
ADMINISTRATOR?
If policies are being enforced on a domain, different levels of
administrator groups can be defined to which you can belong. For
example, you may be given administrator status in a domain but that
merely gives you admin rights on your own host and not, for example,
to be the admin of the PDC host.
I have seen the error when using msconfig.exe about me needing to be
an admin when I already am one (i.e., my account is in the
Administrators group and it is the default one, not some limited admin
group). I ignore it, reboot, and the changes are effected. I haven't
seen a good indicator why this bogus error shows up to know how to
solve it. Since it really isn't a problem, I haven't dug much into
it. It's like falling off a ledge, hanging on for dear life, and some
bozo telling you to hang on while they go get help. Gee, hang on, ya
think, wow, would've never thought of that.
I haven't gotten nailed with this bogus "admin required" dialog for
quite awhile. It has also been quite awhile since I got rid of the
McAfee security bloatwareware (and even longer since getting rid of
the consumer-grade Norton bloatware). Could be security software that
does the interfering. Norton users have reported the same problem.
Neither you or the OP mentioned what, if any, 3rd party security
software is installed.