You would need to go back to the W-2 entry screen under Federal Taxes, Wages and Income. Edit the W-2 in question.
Just above the spot for entering your company's address, check Other, then choose Foreign. Fill the lines out again.. Then when you return to the Review, there will be no error. The program doesn't know if you missed entering additional info on the City line if you didn't designate this as a foreign address when you first entered your W-2.