Sorry about chiming in so late, but it seems that most of my thoughts regarding the warning have already been voiced, to some degree, or another. I do want to point out something, oft-overlooked, about the way that air combat works in TOAW III, as well as earlier iterations. This has to do with the ranges of aircraft equipment, and the ranges of aircraft units. There is a vital distinction to be made here.
The range of aircraft units is determined by that of the longest ranged piece of authorized equipment within the unit. This is true, even if none of that piece is currently assigned. When a unit is added into a battle, however, the ranges of the individual equipments is checked, and if the range is exceeded for a particular type of equipment, it is excluded from adding its strength into the battle, regardless of the type of combat. This results in a situation where units comprised of equipment with divergent ranges fights at different strengths, within each distinct radii, corresponding to the different ranged aircraft.
This is especially a problem in some scenarios where a designer has intended for units to take on new airframes over the course of a long campaign, and the newer airframes have a longer range than the earlier ones. Like EA, as a prime example. Take the German fighter units. They start off with only Me-109 E/F in the units. Later, Fw-190 (early), Fw-190 (late), and Me-109 (late) are added throughout the course of the war. The range for the units, is set at 14 hexes, since this is the range of the Fw-190 (late). However, it isn't until turn 201, that those airframes start appearing. The Fw-190 (early) start appearing at turn 118, and they have a range of 13. The Me-109 (late) don't appear until turn 149 and they have a range of only 10 hexes.
Thus, until after turn 118, any combats with these units that are at ranges of 12-14 hexes from their bases, are fought within the "donut of death" - the area between the concentric radii bounded by the maximum range of the unit's currently assigned equipment, and the maximum range of its authorized equipment. Any combats within this area are very likely to result in the evaporation of the German fighter units.
It should be mentioned that there is a similar effect, though not usually with as drastic of effect, in practice, with regard to the ranges of varying pieces of equipment in naval and artillery units.
To draw this to a close, and to go back to your orignal problem of getting to Norway, you need to focus on the exact ranges of your available air power, and sequence your invasion of Denmark, to secure those airfields needed to provide air superiority coverage over southern Norway. Even with the Danish airfields in control, only the Me-110 units can reach Oslo's airfield, and Bergen. These are fairly small units, and may have difficulty in outfighting the Beaufighters and other long range units that the RAF might have withing range of Norway.
In short, it is primarily a problem with scenario design, and your misunderstanding of how air combat works in TOAW, whether TOAW III, or earlier version. Hopefully, this clears that up.