When prompted with "FINISH SETTING UP ALL FUNNEL STEPS TO USE FUNNELS, there are a few steps to follow:
First of all, open the Funnel in Question.
Below the list of Funnel Steps is a Dropdown labeled: OTHER FUNNEL STEPS
Select a template for each page that does not have one set:
Once you have selected a template, you can either choose to keep the page, or delete it:
After you have set a template / deleted the Funnels in question, you will no longer receive this prompt and your page can go live.