The warning: "Warning: Rigid Body interpenetration occurred between 'object' and 'object'." always happens when you have collisions turned on.

It is nothing to be worried about unless you are doing some very detailed work.
At the speed those pieces are going, even if one flys though the other, you'll never see it with all the motion blur.

In that tutorial I do not cover collisions, because as with most tutorials, we take you part of the way, the rest is trial and error on your own

My 6-part tutorial covers ways to speed up your preview process by using simple tricks like telling the rigid pieces to only use a bounding box of CUBE as its object space, so that way the math is VERY easy for Maya to calculate so you can see your shot timing, and debris effects better in preview mode

Check the docs and do your research on how to speed-up that simulation by searching for rigid bodies, and ready EVERY tip in the docs.

Trust me, the answer is there

You are doing everything right so far.
Good luck!