Tcode:
OVM1
If you would like to change the message behavior for delivery order, you may go to below path to change the status.
Choose the message and change the type from 'W' to 'E'.
However if it is standard SAP error message, I dont recommend you to do that. You may just copy a set of the similar error message from OVM1 using tcode SE91 and populate your error message using user exit.
