@JayBird that message is coming from dotnet test, not from SonarQube or the Scanner. The Sonar extension doesn’t execute the tests or create the coverage files - it just imports coverage files that have been created by other tools.
coverlet is one cross-platform .NET code coverage tool, and the Sonar extension is able to import coverlet reports.
The MS documentation have more information on using coverlet.
You might find our code coverage troubleshooting guide useful too.