The “Bad AHRS” message appears when the EKF doesn’t have a good position estimate. It is not a very useful message so I think we will eventually remote this message to be consistent with Copter which doesn’t display this message.
The ARMING_CHECKs parameter value doesn’t affect whether the message will appear or not. I suspect if the vehicle is armed in a mode that requires a position estimate (like Auto, Guided, RTL, Loiter), an EKF failsafe will be triggered soon afterwards and it will switch to Hold mode.
In any case, I think once the calibrations are all done and the vehicle is taken outside it will start working correctly.