Messages in the MSGE log are for debugging purposes only and do not necessarily indicate, that anything is wrong. These messages should be ignored as for true errors appropriate messages are issued in the JESMSGLG.
As for the MSGE message above, they just mean, that the Vantage VANSFU83 SMF exit was not found to be active and that it will be activated confirmed by the following message in JESMSGLG: VAN1523I SMF Exit VANSFU83 is Installed
At restart of Vantage, if the exit was installed perviously, the messages are not longer issued in the MSGE log. In this case the following message is issued in JESMSGLG: VAN1523I SMF Exit VANSFU83 is Reinitialized
NOTE: The Exit is Installed only once after an IPL. At first startup of Vanage after an IPL you see the Installed message and at every restart the Reinitialized message However, if Vantage is restarted with a new PTF level, this could also result in a new installation of the exit.