To my knowledge, no you should not have to change anything but the tool number.
The only thing that that message is looking for is that your current tool and the requested tool (M6). If the current tool is different than the requested tool, the message appears.
Can you click 'OK' on that message and press cycle start again, like the message says? Does your GCode start running then?
On my machine I always look at the first M6 tool before I begin. I place that tool in the spindle, zero Z, then change the tool number in the dialog box and press cycle start to avoid doing a tool change routine at the beginning of the cycle. You don't have a spindle so you should never have to change it once it is setup.