California’s Proposition 65 is a well-meaning, but occasionally excessive bit of legislation. In the case of a lamp, it’s most likely concerned with the fact that the ends of the wires are most often dipped in solder (“tinned”) so they don’t fray at the light bulb socket’s terminals. There are non-lead solders available, but they cost more, so they’re usually reserved for more critical purposes liks plumbing.
FWIW, nearly every electronic device sold in this state has a Prop 65 warning somewhere on it, and lamps are prime offenders - the last lamp we bought had so many warning tags on the cord it looked like a used car lot. Don’t let anyone eat the lamp, and you should be fine. Of course, if this lamp is as badly put together as the reviews make it sound, you will need to be more vigilant than one normally needs to be with a table lamp.