When building my app for debugging in Xcode I don't get any warning, only when archiving the product:
MyIntent.appex is an ExtensionKit extension and must be embedded in the parent app bundle's Extensions directory, but is embedded in the parent app bundle's ../../../BuildProductsPath/Release/MyApp.app/Contents/Extensions directory.
The MyIntent.appex is listed in the main target's Frameworks, Libraries and Embedded Content section and its Build Phase Embed ExtensionKit Extensions with Destination ExtensionKit Extensions. The extension also seems to work, since the app intent is correctly listed in the Shortcuts app.
Is this an Xcode bug or do I need to do something different?