As I mentioned in my answer above the error message is not really an error message, there is no error here. Grub (the bootloader we use for amd64 on UC20) is simply issuing a message while it executes here.
No, you do not need to merge the assertions into a single file. The model assertion that you provide to ubuntu-image to create an image is just a model assertion.
To use a system-user assertion, you would place the auto-import.assert file (which is really multiple assertions in a single file) onto an external drive that the system reads and imports when it finishes booting up and then you can remove it.
cloud-init is still supported with UC20, but it works differently. The first difference is that you can no longer use the --cloud-init option to ubuntu-image, you need to manually mount the image that ubuntu-image provides you and add your cloud-init configuration to the image manually, or you can provide an external drive called CIDATA with your NoCloud cloud-init configuration on it and cloud-init will automatically import this. See my explanation of this on this thread: Ubuntu-image command crashed - #14 by ijohnson