We discussed the value of adding a Sitemap file in Google in the past. And we also discussed the various data you can send to Google about each of URLs.
In a Google Groups thread, a webmaster created multiple Sitemap files for a single web site, broken out by category. He set the priority details for each URL based on the priority being relative to the whole website and not relative to the individual Sitemap file. But when he checked the analysis tools, he noticed that Google was warning him that that all pages are the same priority.
JohnMu of Google explained that this is an known issue for some people who submit multiple Sitemap files. John said, just ignore those errors, because Google will see the priority on the site level and not on the Sitemap level.
Technically, the priority value is relative to the website -- however, our analysis tools compare it on a Sitemap level. This can lead to situations like yours. Generally speaking, I wouldn't worry about these warnings in that case.
Forum discussion at Google Groups.