There's an overview of the audio settings which should be used with the Pi's on-board sound in this sticky.
It's probably related to incorrect settings - see 1., once you have the correct audio settings, the message should disappear.
it might be related to 1. Is the audio played directly by your TV or is it routed to the home cinema ?
Any messages logged in /dev/shm/runcommand.log ? Are you using Steamlink over WiFi or wired ? What's the resolution of your display ?
I actually have the same issue. On my Samsung 46 inch TV connected by hdmi I get a delay of about 1-2 seconds on the ES menu when moving from game to game. I have game mode on the TV.
Come to think of it though, I have a Yamaha surround system that I have adjusted the audio delay(lip sync setting) because for some reason the audio was slightly off once I installed the receiver. I just disabled that option on the receiver for the Pi's HDMI output and it seems to be in sync now. Could this be your issue?