British media reported that McBurnie, who was in the away section during the south Wales derby last Sunday, had made an obscene gesture towards Cardiff City supporters which was caught on camera and circulated on social media.
"We received a letter from the FA, talking about Oli's future conduct, which is quite right, I believe," Wilder told reporters ahead of Saturday's Premier League game at Arsenal.
Wilder said he was happy that the 23-year-old Scot's actions at the Championship (second-tier) match had not led to any further punishment.
"They (FA) are red hot on that, so for them to take no other action speaks volumes for what it was (not too serious)," Wilder added. "He needs to represent himself a touch better and he understands that.
"I've had a word with Oli but I've got no problem with him going to watch Swansea. He has a big connection there.
"It's refreshing... that he wants to go watch games and be involved in football. We've just had a word with him."
The promoted Blades are sixth in the table with 32 points from 22 games. (Reporting by Shrivathsa Sridhar in Bengaluru Editing by Christian Radnedge)