OS X Server: "The document 'file name' is on a volume that does not support permanent version storage" alert

After reverting to previous version of a document and then closing the window, this dialog might appear: "The document 'file name' is on a volume that does not support permanent version storage."

You might not be able to access earlier versions of the document once you close it.

The document versioning feature works with Mac OS Extended (HFS+) volumes that are directly connected.

Network connections to volumes over AFP, SMB, or NFS don't preserve previous versions of a document.