I get this error message too from time to time, where it does not make sence. Clicking OK and everything works…
Below an example from the “manage privileges” pane. Error message appears with just one DB (no matter who is is the user and no mattter if the user has any privileges to the DB or not) and not other DB. The DB in question is imported with the SQLyog “ODBC import wizard”. The only thing special about it is that is uses VIEWS (MySQL 5.0.4) and is rater big (approx 37500 rows)