That just lets you know that Blender is looking for python, but it can't find it.  You probably don't have it installed.  The message isn't an error, blender itself and all the scripts that come with it will work just fine, but some (a very few) python scripts that you can download off the internet may not work.

4.2 would have the same import site failed message, I believe, but either way you don't need to worry about it.