GMT version = 6.0.0 (macOS installed via brew)
pygmt complains about the GMT_COMPATIBILITY parameter. By default, this is set to 4, but pygmt expects 6. Setting GMT_COMPATIBILITY = 6 in my root gmt.conf file removes this warning, but setting this parameter to 6 should rather be done locally by pygmt itself.
In [3]: fig = pygmt.Figure()
pygmt-session [ERROR]: GMT_COMPATIBILITY: Expects values from 6 to 6; reset to 6.