PgAdmin is mainly a Postgres client and is not a supported client for redshift. Due to its incompatibility, opening a connection always tries to set client_min_messages, but Redshift refuses to accept such a setting. This causes the error you experienced.
Redshift supports only the below parameters which have to be set at the cluster -
dev=# show all;
name | setting
---------------------------+----------------------
analyze_threshold_percent | 10
datestyle | ISO, MDY
extra_float_digits | 0
query_group | default
search_path | $user, public, admin
statement_timeout | 0
wlm_query_slot_count | 1
(7 rows)
You can use other clients like psql or SQLWorkbench/J as pgAdmin has deviations and doesn't support connections to redshift. You can also refer to this where an issue is reported on Github.