I believe the thick fin warning is to let you know you’re violating assumptions built into OpenRocket. Your mileage may vary.
Remember, OR isn’t CFD, nor a physics sandbox.
That's pretty much the long and short of it. So, naturally, I will now expound upon it at length.
Generally the design warnings (those that show in the corner of the rocket figure) are of two flavors:
1) Design violates the assumptions built into OR
2) Something looks suspicious and is very possibly a mistake, e.g. the infamous Discontinuity warning that everyone loves so much.
The thick fin warning falls clearly into the first bucket, and is triggered whenever the fin thickness is greater than
n% of the diameter of the body tube it's attached to (where
n is a value I don't know off the top of my head.) The challenge when dealing with such warnings it to guess
in what way are the results likely to be inaccurate. The program doesn't say because it doesn't know. I would guess in this case that the CP effect of the slab sides of the fin is real. There is possibly additional unaccounted CP effect of the *edge* of the fin (which is now thick enough to create lift of its own), but that would be additive. So, if anything, I would say that the CP effect of the thick fin is probably a bit underestimated. As for drag... who knows. But that's not what we care most about here, so I think we can safely ignore it.
There's one other thing unaccounted for. When only a single fin is in the set (as is the camera shroud), I would think the rocket would rotate until the shroud is behind the body with respect to the airflow, and at that point, it should have much less impact on stability. OR is always reporting worst case margin, with the fin/shroud fully in the airflow.
So what does it all mean? I think the shroud will have some effect on CP (pulling it forward). Beyond that... make your own call.