Has anyone been able to create a custom physics mesh ? Looks like it should be in a *.bullet format. I only have a Blender and I haven't been using it for years.
Its possible using LSTools

Anyhow, your problem is the following:
The physics mesh you selected is either concave, or was exported into a concave container format (eg. BvhTriangleMeshShape), so the physics system treats it as concave.
This is kinda OK for non-moving (static) bodies, but problematic for movable (kinematic) bodies, because of the computational costs involved when running the physics simulation.
The "Making a concave physics object ... kinematic. This is very slow!" message is not fatal, ie. the physics should work fine for that object, but it may impact the performance of the game.
You can work around the issue by finding a convex physics mesh for the object, or creating a simple convex mesh and exporting it into a .bullet file.
(Or creating a convex hull for the original mesh)