Just thought I'd post a follow-up in case it helps anyone else.
I purchased a 2011 Ford Explorer XLT 4WD with MyFord Touch from CarMax a few weeks ago. It started having this same issue a couple days after I drove it off the lot.
What should have tipped me off first was that when I went to test drive the Explorer at CarMax, they had to jump start it. They said sometimes that happens with cars that sit on the lot for a while -- makes sense, but this turns out to be related with hindsight 20/20.
The first few days, the radio would stay on when you take the key out until you open the door, like expected. Then after a few days it started showing this message. One time I also got a message on the display beside the spedometer saying "Check Charging System", but I only saw that message once.
I took it in to Advance Auto Parts to do a free battery test. The battery, alternator, etc. all tested good.
Then, I took it into a local Ford dealer, and they also tested the battery and it tested good. They determined that a "charging sensor" needed to be replaced and that it was the cause of the problem.
I then took it in to CarMax to get the charging sensor replaced under their 30-day warranty. They also confirmed the charging sensor issue and replaced the charging sensor. They also tested the battery and it tested good.
The message went away for exactly one drive, then the next time I drove it it started doing it again. I had also made sure that I didn't have anything plugged into the MFT USB outlets.
A couple weeks later, I went on a cruise so the Explorer was sitting at the cruise terminal parking lot for 5 days. When I returned, it would not crank -- battery was dead. I took it in once again to CarMax.
Under the 30-day warranty, they now again tested the battery (note that this is the 4th time it had been tested!) and found it had a bad cell! That means that while "fully" charged, it was testing fine with the testing tools at Advance, the Ford dealership, and CarMax, but now that the battery drained it tested bad!
CarMax replaced the battery for free under their 30-day warranty and now I've driven it a number of times and the radio stays on until I open the door and I haven't gotten the message since.
Again, in hindsight -- them having to jump the car to test drive it should have been my first clue that the battery was actually bad, but the 3 battery tests at different locations gave me a false sense that it was a good battery.
So don't take the battery test results as the final word - if you're getting this message, you most likely have a bad battery, even if you can still crank it and even if it tests "good"! And if you've replaced the battery and still get this message, have your dealership/mechanic check the charging sensor. Better to replace the battery than get stuck somewhere when it finally one day won't crank like I was at the cruise terminal. Hope this helps!