E.g. by graying them out. I would not show a warning so that people are not accidentally removing a setting that is still valid when opening the folder alone.
Following is how a workbench setting is indicated as unsupported in folder settings in MR workspace.

@Microsoft/vscode Please provide your suggestions to improve the wordings.
I think the "setting is dimmed" explanation is unnecessary. Same as how we don't say "text is underlined because..." for other warnings. I like "This setting cannot be configured for folder resources".
The message should really mention the fact that the setting can't be applied now, given the current multi-root context; but it will be applied later on another single folder context.
How about this
This setting is not applied because it cannot be scoped for folder resources. Changing this would impact other workspaces.
Maybe:
This setting can't be currently applied because it does not support the folder resource scope. Changing it might impact other workspaces.
Thanks @joaomoreno.
@sandy081 Is this accessible? Using different shades of color to convey meaning generally is not.
@chrisdias Good point. I am also showing an info icon in addition to colouring with grey.

can I set focus to the "i" and have the tooltip somehow read to me?
I tried and unfortunately tooltip was not read.
I have to ask @alexandrudima to know how to get the tooltip to be read here?
Decorations are unfortunately not accessible at this time (except for e.g. squiggles or diff editors where we have special stories). We might want to go in the direction of VS where a command will present all decorations at a specific editor position.
Most helpful comment
I think the "setting is dimmed" explanation is unnecessary. Same as how we don't say "text is underlined because..." for other warnings. I like "This setting cannot be configured for folder resources".