I added more info about this bug here: http://askubuntu.com/a/498281/197497

To trying to help everybody with the problem solution, I'm copy/past my answer in the Ask Ubuntu here.

----

This bug appears when you create the boot partition (or the root partition, when the boot partition doesn't exists) inside a LVM or a RAID partition.

When the system is booting, Grub (using its `diskfilter` module) tries to write some data in `/boot`. However, in this Ubuntu version, something goes wrong and Grub cannot write the desirable data (and the warning appears).

Let's look inside the `/boot/grub/grub.cfg` file (generated using the `/etc/grub.d/00_header` file by the `update-grub` command):

    if [ -s $prefix/grubenv ]; then
      set have_grubenv=true
      load_env
    fi
    if [ "${next_entry}" ] ; then
       set default="${next_entry}"
       set next_entry=
       save_env next_entry
       set boot_once=true
    [...]

According to this file, grub reads (`load_env`) the Grub environment file (`/boot/grub/grubenv`) if it exits in every boot. Sometimes, it saves (`save_env`) a new environment in this file too (when it's necessary that the next boot sees a new environment).

This (save `grubenv`) can be used to save the last used grub entry (setting `GRUB_DEFAULT=saved` in the `/etc/default/grub` file and running `update-grub`).

This can be used by the **recordfail** feature too (see [Ubuntu Help - Grub 2](https://help.ubuntu.com/community/Grub2), "Last Boot Failed or Boot into Recovery ModeLast Boot Failed or Boot into Recovery Mode" section).

In every boot, Grub updates the `recordfail` value and saves it. Probably, at this moment, the warning appears to you (lines 104 to 124):

    if [ "$quick_boot" = 1 ]; then
        cat <<EOF
    function recordfail {
      set recordfail=1
    EOF
        FS="$(grub-probe --target=fs "${grubdir}")"
        case "$FS" in
          btrfs | cpiofs | newc | odc | romfs | squash4 | tarfs | zfs)
        cat <<EOF
      # GRUB lacks write support for $FS, so recordfail support is disabled.
    EOF
        ;;
          *)
        cat <<EOF
      if [ -n "\${have_grubenv}" ]; then if [ -z "\${boot_once}" ]; then save_env recordfail; fi; fi
    EOF
        esac
        cat <<EOF
    }
    EOF
    fi

See that Grub skips the recordfail feature when using the following filesystems: `btrfs | cpiofs | newc | odc | romfs | squash4 | tarfs | zfs`. The LVM and RAID subsystems aren't skipped in any moment.

To work inside RAID partitions (I don't know what happens inside LVM partitions...), Grub uses the **diskfilter** module (`insmod diskfilter`). You can get the source code of this module running:

    apt-get source grub2
    vim grub2-2.02~beta2/grub-core/disk/diskfilter.c

However, even if this module was loaded, the bug will appear when grub calls the `save_env recordfail` function.

More details about this behaviour can be found at: https://bugzilla.redhat.com/show_bug.cgi?id=1006289

I read the source code and found the moment when the warning is dispatched (line 821). I'm pasting the code here (lines 808 to 823):

    static grub_err_t
    grub_diskfilter_read (grub_disk_t disk, grub_disk_addr_t sector,
                      grub_size_t size, char *buf)
    {
      return read_lv (disk->data, sector, size, buf);
    }

    static grub_err_t
    grub_diskfilter_write (grub_disk_t disk __attribute ((unused)),
                 grub_disk_addr_t sector __attribute ((unused)),
                 grub_size_t size __attribute ((unused)),
                 const char *buf __attribute ((unused)))
    {
      return grub_error (GRUB_ERR_NOT_IMPLEMENTED_YET,
                     "diskfilter writes are not supported");
    }

As you can see in this code, the `grub_diskfilter_read` function is implemented (and Grub can read the environment file). However, the `grub_diskfilter_write` function isn't implemented and raises a `GRUB_ERR_NOT_IMPLEMENTED_YET` error. In other words, Grub can't write in a RAID array because it doesn't know how it can do this.

If you want to do not see this error anymore, you can:

- Change the `quick_boot="1"` to `quick_boot="0"` in the `/etc/grub.d/00_header` file;
- Apply this patch: https://launchpadlibrarian.net/175536511/diskfilter-writes.patch
    - It was proposed in the Ubuntu thread [Bug #1274320, comment #34](https://bugs.launchpad.net/ubuntu/+source/grub2/+bug/1274320/comments/34).

I think the first solution is a poor workarround (it can stop working after a single `apt-get upgrade` of the `grub2` package). The second solution is a better one.

However, the best solution would be if Grub implements the `grub_diskfilter_write` function of the `diskfilter` module.

**Update:** The patch proposed in the [Bug #1274320, comment #34](https://bugs.launchpad.net/ubuntu/+source/grub2/+bug/1274320/comments/34), is explained above:

- First, the patch runs the command `grub-probe --target=disk "${grubdir}"`;
    - The guy that made this patch used the `--target=disk` option. Maybe using the `--target=abstraction` would be a better solution to locate boot partitions inside RAID and LVMs;
- Second, the patch checks if the 'path' where grub is installed contains the `"/dev/mapper"` (LVM) or the `"/dev/md"` (RAID) strings;
- Finally, if it is, the patch writes in the `/boot/grub/grub.cfg` file a comment similar to one showed in the top of this answer:
    - For example, in my case:<br>
    ```# GRUB lacks write support for /dev/md0, so recordfail support is disabled.
    ```

To apply this path:

    # Download
    wget https://launchpadlibrarian.net/175536511/diskfilter-writes.patch
    # Apply
    patch /etc/grub.d/00_header < diskfilter-writes.patch
    # Disable the old script
    chmod -x /etc/grub.d/00_header.orig
    # Update Grub
    update-grub

This patch wasn't working for me (maybe the `00_header` was updated since the patch was proposed). So, I made a new one: https://gist.github.com/rarylson/23fb3ab46ded7ca2a818