If you look in uiop/lisp-build.lisp, functions reify-undefined-warning and unreify-undefined-warning, you'll see that we're trying to save and restore file context information; I don't know whether or not we're failing to save and restore it, or SBCL is failing to display it after we restore the data (you could try to disable the deferred warning mechanism, and see how it behaves — if it then displays file information, that's a UIOP failure; if it doesn't, probably an SBCL failure).
there are more details in my mail to sbcl-devel, but this warning comes from a nested compilation initiated by some generic method internals. most probably sbcl fails to provide enough info, but here is the content of the .sbcl-warnings file for the initiated eyes:
((SB-C::*UNDEFINED-WARNINGS* (:VARIABLE HU.DWIM.PEREC::INSTANCE 1 (:ENCLOSING-SOURCE NIL :SOURCE NIL :ORIGINAL-SOURCE " (SB-MOP:SLOT-VALUE-USING-CLASS # HU.DWIM.PEREC::INSTANCE ...)" :CONTEXT ((LAMBDA (SB-PCL::.METHOD-ARGS. SB-PCL::.NEXT-METHODS.))) :FILE-NAME :LISP :FILE-POSITION 0 :ORIGINAL-SOURCE-PATH (1 2 3 2 4 2 0)))))
to sum it up, it's a warning signaled by sbcl due to a bug, and doesn't contain source location. so, i think it's something we can safely ignore as a nasty corner case...