No error, but the actions will not work correctly for your mail traffic until the domain based list is disabled.
SMG is designed to work with third party lists based on IP addresses only.
This is documented in the SMG Administration Guide for 10.6.4 on page 146 (see "Incorporate lists managed by other parties").
This applies to all versions of SMG by design.
To add third party lists, you must use IP based lists.
Examples include, but are not limited to: