...Why does the layer turn this color after running this action?...
This is because the action leaves a channel other than RGB selected when it finishes.
To replicate it select any channel created by the action, switch back to the "Layers" panel and the layer will be highlighted.
Switch back to the "Channels" panel, select RGB at the very top, (or either R, G or B), switch back again to the "Layers" panel and the highlight will be gone.
You did also mention a warning but that seems to have been deleted, whatever, you don't need to worry about it...its an annoying "quirk" with PS that any pixels of less than 50% opacity will not be shown with a marquee around them. You can ignore the warning, thats all it is, a warning, whatever pixels are used are still used regardless of the what the marquee shows you.
Regards.
MrToM.