What does this mean?
What the OP is referring to is a message that appears in the output of SDPT3; for instance, see this example.
Many convex optimization solvers cannot handle free variables in their internal solver algorithms. The reasons for this are technical and I’d rather not go into them here.
One of the more common approaches to handling free variables, then, is to replace them with the difference between two nonnegative variables. That is, a free variable x, is replaced by x_+-x_-, where x_+,x_-\geq 0.
So when you see this message in SDPT3’s output, it means that it has converted the free variables in this fashion. Of course, once the solver has finished, it reverses this conversion, returning to you just the differences x=x_+-x_-.