go to your material editor and get material. Search through the scene parameters and it should show up as a different colored circle with raytrace next to it.
I think Max 7 had a bug to where it would enable raytrace messages when merging scenes… You can turn off the message (separate from materials) by going to Rendering > Raytracer Settings.
Just guessing on these, but I think blue is materials, green is maps, yellow is mental ray materials, purple is real-time shaders?, and not sure about red.