Can’t locate that salvage mission objective

Basically, they're asking you to be a smuggler.

Ultimately it will mean two things while you're carrying that cargo:

1. You will need to do a sneaky station entry, unless it's an outpost.
2. You will need to avoid being scanned by any system authority ships, such as if one interdicts you.

If a system authority ship (including those orbiting a station entrance) does the kind of scan that shows up as a "scan alert" while you're carrying the illegal cargo, you'll get a fine. If you don't pay the fine within 24 hours it will turn into a bounty (and you'll be wanted in that system). Being caught with illegal cargo will give you a bad reputation with the local system authority faction.

If you're unlucky enough to get caught with the illegal cargo in multiple systems, you could end up with multiple fines. I believe if you're caught again by the same authority (interdicted and scanned then enter a station they control), you won't actually get fined a second time for the same illegal cargo containers.

Note that some missions that don't have that warning, are actually for commodities that might be illegal in other systems.

Instancing might be different on Xbox than PC. I think there may be things around "servers" that might make it harder to join up with your friend on Xbox.

Things that have helped on a PC:

1. All be on your mutual friends' lists before you start the game.
2. Make sure you're both in open play, or both in the same private group.
3. Form a wing before you jump to the star system.
4. One of you drop out of supercruise and engage your wing nav beacon (Comms panel on upper left), and the other lock onto that (it shows up similarly to a signal source).
5. Nav lock each other (comms panel), and both navigate to the same station.

Note: tricks for making sure you both appear in the same instance can also reduce the odds of other players appearing. If you're winging up for PvP you might want to start out in different systems until you find somebody to engage with.