Yes, the PGSQL system user (usually postgres) has its home directory set to /var/lib/postgresql. I'm presuming you installed your database in a different location. Since that directory doesn't exist, the PSQL program cannot access that folder to create its history file. (PSQL is the interactive command line for PGSQL).
Honestly, it's not that big of a deal. That history file is just a list of commands that were executed inside the PSQL interface.
Since you're done installing, I doubt you'll ever see the message again. That is, unless you connect to PSQL using your own account and you continue to get a similar error message. In that case, your HOME variable might be wrong. You're not logged in to your system as postgres are you? If you are planning on using that user interactively (not advised at all), then you'll have to set its HOME directory to some valid folder.
Here are some reference solutions.