That error message is working as intended - it will always state that if you buy a weapon or tool that is not for your current class, regardless if you have that class/Job unlocked or not (and the same message will be shown not just on the Market Board but at NPC weapon stores and even the end game tome gear vendors).

Just ignore it, it doesn't actually mean that you're not able to switch to that class, it's just there as a safety net in case a player makes the wrong choice and buys the wrong weapon or tool they were after - as long as you satisfy the level requirement for it and have the class unlocked then it's fine.