By RAW, you can select an archtype until a level where the archtype makes a change to the character class. This is at level 1 for most archtypes but there are some that do this at level 3, so you wouldn't need to select that archtype until that level.

My experience with archtypes is that HL will provide that warning that you saw, and then still apply the appropriate changes to the character.

You may want to create a test character with a standard Paizo class and archtype to see if you experience the same behavior. If you do, then it's probably an issue with HL and you should submit a bug report to LW. Otherwise, it would be an issue with the PoW pack which SC would have to look into.

If I want to build an NPC (same process for a character) who will be 10th level and have an archetype, it's easier to create the character, pick their class or classes and then pick their archetypes.

HL gives the warning that the character is beyond 1st level, for any class that is 2nd or higher.
But it still lets you select them.
And once selected they operate exactly the same as if you had picked them at first level in the class, rather than at second level or later.
As far as HL is concerned, the archetypes is binary; either you have it or you don't.

Ualaa is correct that this is how all archetypes in HL work and the PoW ones are no exception to the rule.