I can get this in SQLServer 2005 (with various different servers) if I go to a job in my Management Studio (version 9.00.4035.00), right click and select properties and click the ... box for Owner. Type sa in the object names to select and click OK. Gives message as above and list of so-called matching objects to select from - none match except sa of course!

Selecting Check Names gives the same result but I note that the result set for these two is limited to sys admins whilst selecting Browse button gives every user. This makes me wonder if it is also filtering on server role (sySAdmin) as well as name - I don't have any procesSAdmins.