If I see red "X" like this in my Expert Linker, do I have a problem?
It's unlikely that you have a problem with your linker file.
I'm sure that you already know what the red X means. (If you right-click over the window you get an option to "View Legend..."; the legend will tell you that the red X identifies something that wasn't mapped).
In your case, in the LDF file there is a macro called $LIBS that includes in it's list of libraries the object file __initbsz532.doj. In the mapping of objects within the LDF it turns out that this object file is only linked in if there is memory initialization that needs to be done when the program starts up. (Say there is a large array that needs to be set to zero). In a lot of cases, and in particular your case, this object isn't needed and so isn't mapped into the program. Not to worry.
The red X can be helpful for helping to find objects that you created that for whatever reason didn't show up in the link.
Retrieving data ...