By running the following bayesian regression model using SAS 9.4:

    PROC GENMOD DATA = TRAININGSET;
         CLASS X;
         MODEL Y = X /DIST = POISSON LINK = LOG;
         BAYES
         NMC = 1000
         SEED = 1234
         COEFFPRIOR = NORMAL;
    RUN;

I found the following warning in the LOG window:

    WARNING: There is still significant autocorrelation after 500 lags, and the 
     size for the parameter XXXX might not be estimated accurately.

What does this kind of error imply in a bayesian framework for the $\beta$ coefficient estimates and what do you suggest to solve/avoid this kind of problem?

Thanks in advance for the help!