Some car radios automatically turn themselves off after an hour without the engine running, so the manufacturers of those radios (who, no doubt, err on the side of caution anyway) seem to be confident that you can have the radio on for at least an hour without running the battery flat.
That, of course, assumes that your car's battery is in good condition. If the message you're seeing is actually generated by a significant fall in voltage (rather than just being a standard message which always appears whenever the radio is used with the engine turned off), it might be worth getting the battery's condition checked out before winter arrives. (Nearly all tyre-and-exhaust places, and many independent garages, will do it free of charge).