could not save history to file "/var/lib/postgresql/.psql_history": No such file or directory

Yes, the PGSQL system user (usually postgres) has its home directory set to /var/lib/postgresql. I'm presuming you installed your database in a different location. Since that directory doesn't exist, the PSQL program cannot access that folder to create its history file. (PSQL is the interactive command line for PGSQL).

Honestly, it's not that big of a deal. That history file is just a list of commands that were executed inside the PSQL interface.

Since you're done installing, I doubt you'll ever see the message again. That is, unless you connect to PSQL using your own account and you continue to get a similar error message. In that case, your HOME variable might be wrong. You're not logged in to your system as postgres are you? If you are planning on using that user interactively (not advised at all), then you'll have to set its HOME directory to some valid folder.

Here are some reference solutions.

Update postgres' home directory to point to the correct database location.

sudo usermod --home '/path/to/database' postgres

If your directory is actually /var/lib/postgres/ then this is actually an easy fix. Just create the .psql_history file in that directory, and then give the postgres user ownership of the file. Even after I did initdb and then created my test database in the /var/lib/postgres/data/ directory, a .psql_history file was not created. For some reason this has to be done manually.

This is with PostgreSQL 9.4.5 on Linux (Arch/Manjaro), installed from the package manager.