Upon installation the imce module adds a message. In imce.install:
drupal_set_message(st('!module has been installed.', array('!module' => l(st('IMCE'), 'admin/config/media/imce'))));
This also happens when installing the module from installation profiles when you define imce as a dependency in the .info file of the installation profile. The message appears then on the site configuration step of the wizard, where it seems a bit misplaced as you didn't finish installation yet.
As Drupal 7 allows to specify the path to configure a module in the .info file, which results in a link in the modules list, I think the message is actually superfluous and should be removed.