A Mace of Warning is a magical weapon that deals magical damage.
From the description of Weapons of Warning:
This magic weapon…
Since it is a magic weapon, it deals magical damage, as the Monster Manual says in the section on Vulnerabilities, Resistances, and Immunities:
a magical attack is an attack delivered by a spell, a magic item, or another magical source
Therefore, the Imp would not be resistant to damage from the Mace of Warning since it deals magical bludgeoning damage and the Imp has resistance to non-silvered, non-magical bludgeoning.