I don’t know about using URDF in Unity, bu by googling the error log I found this issue on GitHub, which seems to be related to your issue.
It seems that this log is not an error but simply a warning that you can ignore. Please check out the issue on Github, this might help you solve other problems as well.
The log says the “tool_link” has no rigid body, because if you look at the xacro file, we didn’t define any visual property for this link. This link is only here so we can have a TCP (Tool Center Point) where the tool is placed.
If you want to totally remove this warning you can simply add a small visual tag inside the tool_link ( for example a thin box, tuto here)