I'm running valhalla_build_tiles as described in the Running section. Whether I do this using the Ubuntu PPA or an OS X Homebrew installation, the result is the same; many such warnings:
2017/02/24 21:03:35.070529 [WARN] Admin db /path/to/valhalla_tiles/admins.sqlite not found. Not saving admin information.
2017/02/24 21:03:35.070559 [WARN] Time zone db /path/to/valhalla_tiles/timezones.sqlite not found. Not saving time zone information.
I've replaced my real path, which is correct, to /path/to.
If I touch these files, the procedure does not produce any warnings, seems to run for much longer, but results in 0 byte .sqlite files. No idea if this is expected behavior.