Ok thanks for the info Diego! This is just a UX problem then, in my opinion the pop up implies the TSX is always optional. There's no info that the TSX is optional because it could be part of the TMX.
Perhaps there could be some error message when you press load, that tells the user hey you need to add a TSX because no tileset info found in the TMX. As a user I am stuck pressing a load button that doesn't work with no reason why.
I tried with a tileset embedded TMX and yes this was working as expected, only the image required.