artsshell is part of the K Desktop Environment (KDE), and you won't have it if you're not using KDE. The command that Rosegarden is trying to execute is "artsshell -q terminate", which would terminate a running KDE sound server. Without KDE, you have neither a KDE sound server nor the artsshell interface to control it, so that message is harmless. There is probably some place in Rosegarden's option settings to eliminate sending that command if the message bothers you. (I'm not a Rosegarden user, but I get a similar, harmless message from qjackctl, which also uses the Jack daemon.)
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