The red exclamation marks appear above a note when the envelope's messed up. (The crossfade overlap between notes)
There's a bunch of things you can do actually.
1) It can be an error in the OTO.ini of your utau. Editing the OTO a bit may make the marks (FOR THAT NOTE) go away permanently.
2) It can be pre-set in the *.UST you're using. Notice the boxes "Preutterance" and "Overlap" in the notes property? (by right clicking the note)
The UST may have that stuff set up already and that can get in trouble with your UTAU.
Just hit "clear" and "reset" and it should be fine.
OR put in another number.
3) Just clicking the exclamation mark itself makes it go away sometimes lol.