If you see this tooltip when editing a site page, it means that the gadget you're trying to modify was added to a page template. To modify the gadget, you have to edit the page template.
To edit the page template, exit or save your changes to the site page, then click Page templates at the top of the screen. Within the list of page templates, choose the one used by the page you were editing, then click the Edit button.
You can see which page template a particular page is using within its page settings.
Alternatively, you could hover over the page within the Site pages list then hover over the information icon that appears.
The name of the page template being used by the page will appear in a pop-up window, along with other information and options.
