This error is new as of version 4.1.2. The error means that you have data coming in for which no index has been configured or enabled. Previously, Splunk did not provide a warning message (in UI) for situations where events are dropped due to non-existent or disabled index.
You should check your LWF configuration for any inputs that might be sending to this index.
Does such an index exist at your indexer? If yes, is the index enabled?