In breadboard when you click on the warning at the bottom about connections to be routed it will highlight the connections with little yellow dots. You can also see the dotted lines that connect the pins (ratsnest lines) that indicate the missing connections.
If you make those ratsnest lines in to wires the warning goes away.
The reason those ratsnest lines exist is because you have made that connection in the schematic view, possibly by mistake. If you do not want those connections then you can right click on the ratsnest lines in breadbaord view and select delete ratsnest line.
As for turning it into a pcb. You now have to figure out the placement of all the components on the PCB. First you may want to figure out the size you want the PCB. I design all my board within a 100mm x 100mm board to be able to order them from Elecrow for $4.90 for 5 pcbs. Once you have your board size figured out and the parts laid out where you think you want them you will start laying out your traces between parts. Make sure you use both sides of the board and do not be surprised if you have to move parts around multiple times to get an effective efficient design. It will take just as long or longer to figure out as the circuit and software has taken already. There are no easy automatic layout tools and almost none but the most expensive EDA programs have good autorouters and even they can take many hours of running and hundreds of thousands of tries to figure what an experienced human can do in less time.