If you don't have ThickBox installed you get an information message:

This module now uses the Thickbox contributed module rather than bundling it's own copy of Thickbox. Please go to the Thickbox project page and download it if you wish to use Thickbox to display splash pages.

This message is repeated when you save the configuration changes.

But it's a very easy fix, just set the drupal_set_message() option $repeat = FALSE on line 122 in splash.admin.inc

It's not really a bug but it improves the user's experience :)