Nothing's preventing you from saving the presentation as such; the message is telling you that because the presentation uses fonts that are not embeddable, you cannot save the presentation with the fonts embedded.
You can look at the presentation's .Fonts collection and determine for each font whether it's embeddable or not:
Sub FontList()
Dim x As Long
With ActivePresentation.Fonts
For x = 1 To .Count
Debug.Print .Item(x).Name & vbTab & .Item(x).Embeddable
Next
End With
End Sub
If you find unembeddable fonts, you could opt to save the presentation w/o embedding fonts (third parameter to SaveAs set to False rather than True).
Or probably more practically, use the .Fonts.Replace to substitute a different font (one that IS embeddable). I expect you'd have to create your own replacement table for this; if the font's not present on your system, Windows will have substituted another font, but PPT won't tell you what font it is.