I usually link it to /var/run/resolvconf/resolve.conf or /run/resolvconf/resolv.conf. There is not usually a run directory in /etc/resolvconf since /etc is for config and not variable files like a run directory.
If you have it properly linked to /var/run/resolvconf/resolve.conf or /run/resolvconf/resolvconf.conf you will be using dnsmasq and you can safely ignore that warning.
Edit: @Chrisster I’m pretty sure there is an issue in the diagnosis since without changing anything, there is no /etc/resolvconf/run/resolv.conf on the yunohosts I have installed.