There are a number of situations where Altium's buses and harnesses don't quite work the way you'd want. In your case, there may be a better way, but it depends on what you're trying to do. If you're dealing with repeated sheet symbols on both ends, then you're kind of stuck with something like what you have, unless you place individual sheet symbols without using the Repeat option. You might be able to do slightly better by placing multiple sheet symbols inside of their own sheet and then rearranging the bus inside that sheet. Another option might be to use harnesses instead, and place the four smaller buses as harnesses inside of the main large harness, but this won't work with repeated sheets.
Or you may be able to use the bus as a purely graphical element--name the constituent nets however you want, run the wires to a bus wire as you normally would, but do NOT name the bus. In this case you're actually relying on the net labels themselves to establish connectivity, and the bus wire is only a visual guide to show the reader where all of those signals go.
The "Net has multiple names" warning is just that--a warning. There are many situations where you may have more than one name attached to a net, so it's useful for sanity checking, but does not necessarily indicate a problem.