There are lots of variations of V4, some of them have additional material zones. If EZSkin encounters such a zone, it will give a warning and the original material is kept for that zone. This is normal behaviour and everyone oftens sees these messages. If you press OK, the other material zones will be modified by EZSkin.

If you look in the material room, advanced section you will see the new materials. If you have the render options correct and you render, you should see a difference.

If the materials have not been changed, there is something else wrong.