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I got that message when I tried to plug in a (non-Apple) CF card reader that I had for an iPad 1. It only works on the iPad 1 , stopped working on the iPad 2 and iPad 3.
If you were trying to do something like that, then it is normal. If you were trying to use an Apple iPad camera connection kit, or some other Apple iPad accessory, then it is not normal.
 
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