This can happen if you have played the game and the Dead Kings DLC previously. If the game is uninstalled from your platform this will also uninstall the DLC content. 
If you reinstall the game without the DLC content, the game will display a notification advising you there is missing content and to start a new save. 

The only way to avoid this is to ensure all of the Dead Kings DLC content and all other content you own for the game is installed before you launch it. You can find more information about DLC installation in this article. 

If you click on Yes, your previous save file will be overwritten.