What's the exact version of your Mathematica? On v9.0.1, Win 64bit, I can't reproduce the warning with n=10^6 or n=10^7 or n=10^8. According to this answer, SequenceLimit::seqlim is a evidence that NSum has chosen method "WynnEpsilon", but according to the timing and memory usage, NSum probably choose "EulerMaclaurin" when solving your specific problem. Anyway, I managed to get the warning by raising n to 10^10 and explicitly setting Method to "WynnEpsilon":
$Version
Module[{n = 10^10},
Sqrt[n]*(4^-n)*
NSum[Binomial[2*n - 1, n - k]/((2 k - 1)^2 + Pi^2), {k, 1, n},
Method -> "WynnEpsilon"]] // AbsoluteTiming

And the warning will disappear if I set a higher WorkingPrecision:
Module[{n = 10^10},
Sqrt[n]*(4^-n)*
NSum[Binomial[2*n - 1, n - k]/((2 k - 1)^2 + Pi^2), {k, 1, n},
Method -> "WynnEpsilon", WorkingPrecision -> 30]] // AbsoluteTiming
