Hi
It depends on what update of Excel you have which features are supported. You posted to the Office 365 forum. Go to the Excel menu and choose About Excel. Your license type should say "Office 365 Subscription" and the version should be 16.35 or newer.
If your installation meets these requirements, the message means that the workbook contains Active-X controls. These are open-source controls that are not supported on Mac. Ask the workbook provider to use Excel controls instead of Active-X controls so that the workbook will work cross-platform.