I got the same message last week and when I checked the windows, they all looked up and sealed. I rolled them up anyway, and the passenger window made the tiniest little movement after which the message went away. Your issue could be something else, but have you tried rolling them up or down and then up again?
I had that problem after having the car serviced. I'm not sure what they did (or forgot to do), but check your manual for resetting the power windows.
Here's a blurb from my manual about resting the auto up/down function. That might be the same thing:
If the battery has been disconnected, the auto open function must be reset so that it will work properly.
1. Gently raise the front section of the button to close the window and hold it for one second.
2. Release the button briefly.
3. Raise the front section of the button again for one second.
Mine did the same thing when the car was very new. Now after 3 months, the false window open message doesn't happen anymore. Not sure how new your car is, but perhaps it takes some time for the window seals to get some wear in order to seat Windows tight enough to always be sensed as closed? Just a guess based on my issue going away on its own.
When I first got our V60CC had the same indication on two windows in the app. When putting the window (auto) up I needed to hit the switch again to "set" the window in place. Hasn't happened much lately so maybe the rubber seal just needed to be "exercised".