If you are recording in 24 bit, you should also make sure that Apply Dither is not checked under Options > Audio > Advanced. Then in the Export Dialog Box make sure the bit depth is set to 24.
When you are finished processing in Wavelab, that is the time to dither and reduce the bit rate (i.e., last step before burning to CD).
Of course if you are not recording in 24 bit, you can ignore this message.