It’s an issue with SWIG: search for “SWIG_Python_AddErrorMsg” and you’ll find many occurrences of this warning.
It has been fixed with newer version of SWIG, I guess the _wrap.cc files could be regenerated.
Anyway this should be a compilation warning, not an error.
Do you have “-Werror=format-security” as a default somewhere? Try to remove it.
Alternatively, you could look at the file wxPython/config.py, there is a commented line (in a “Hack” section) that removes this option from the command line.