An "A Entry" is a line in a DNS zone file which points a hostname to an IP address. This allows you to point www.dominame.com to IP 1.2.3.4 for example.

cPanel is giving you the error because it is doing a lookup for server.domainname.com and it isn't finding an IP.

Where is the DNS for that domain being hosted right now? If you have the domain set up to use nameservers on the VPS, the "Add an A Entry for your Hostname" in WHM should fix it. If you are using nameservers on a different server/host/etc, or using your registrar's nameservers, you will need to set up an A entry there.