Hello, i was also looking to remove this message and couldn’t find any solution around. Your post also appeared when i was looking for a solution.
You will find this message on line 307 of the file wp-user-registration.php which is located at the plugins/wordpress-password-register folder.
So you can just delete it or with an if condition only show it in a webpage you want. For example to only show it when register you can do something like this:
function wp_login_message($message){
if (isset ($_SERVER['QUERY_STRING']) && $_SERVER['QUERY_STRING'] == "action=register")
$message .= '<div id="login_error">'. __('<strong>Tips</strong>: username must be in a-z0-9_.-','wp-user-registration') .'</div>';
return $message;
}