You need to edit the sysstring-*.dat for current system language. Is not always sysstring-e.dat. It's also can be sysstring-ru.dat or sysstring-r.dat, or etc.
The easy way for check it - create the same file with one first ID. If this srting will be lost, then it's in this file. Otherwise can be hardcoded inside the interface scripts. If what you posted image from Interlude client, then possible this message can be hardcoded in interface.u because i see separated clan window. And it's can be only in custom interface.u