Hello 
I am trying to launching my FB Ads campaign and I'm getting this warning "Ad Set May Get Zero Purchases”:

Current optimize-for conversion event is Purchases.
This campaign is for a musical instrumentals buying niche in the US. So why is it then? Do you guys/gals pay attention to it?
Attached is a screenshot of an example audience of mine (that shows this warning)

Our website just incase anyone was wondering btw:
https://budi.beatstars.com/
(aware of the horrendous loading times)
Extremely common on a new pixel. Facebook has no real idea if it will convert yet, after all on a new campaign you do ad set before ads, so it hasn't even seen the ads or the lander.
I wouldn't worry about it unless you are seeing this on a well established account/pixel. I've seen a lot of people comment that it is Facebook trying to push you to landing page views and spend more. Not sure if I buy that or not.
^^ and maybe It could be that FB detects its a high cpa offer. If your budget is too low the data will be useless if set conversion, it doesn't see enough points to connect and build a decent audience.
Hence the recommendation to first buy cheap data on traffic, fill pixel and from there you increase steps from view to lead to sale eventually.