Good morning and thank you for posting on the Final Fantasy XIV Technical Support Forums.

Your character data is stored server side, so you don't have to worry about losing it. The message is probably referring to your locally-saved user settings. This is customized settings for UI, Gear Sets, Hotbars, etc. These files are stored in the 'Application Saved Data' in the storage settings. Try deleting this. You will reset a lot of your settings, but it sounds like they are corrupted anyway.

We hope we can be of assistance in helping you enjoy the exciting world of Final Fantasy XIV!