The error is shown when Finale syncs down an order and doesn't not recognize one of the marketplace skus on the order. The two primary causes for this error are:
(1) The sku is not a Finale product id.
(2) The sku is mapped to an inactive product.
When this happen, the order is held in a pending state as Finale does now what product to decrement stock from. Even if the order is marked as shipped in ShipStation, Finale will continue holding this order in the pending state until the mapping between the product id and marketplace sku is addressed.
To learn how to quickly address these mapping errors, please watch this video at the 1:30 mark.