Why it appears: The action you're playing has a step that adds feathering to a selection. Typically, the action requires that you make a selection before you run the action. In those cases, if you haven't made a selection first, you'll get this warning.
How to fix it: If the action requires this, make a selection using any selection tool before you play the action. With your selection in place, click on the action in the Actions palette (Window>Actions) and click on the Play icon. Note: Some actions have “(selection)” after the name of the action, which is an indication that you need to make a selection first.
Why it appears: If you click on a layer to select it while you're recording an action, the name of the layer is recording. If you play that action on another document—without that specifically named layer—this error may appear (especially if your document has no layers).
How to fix it: Unfortunately, there's no easy fix for this as it's in the recording of the action in which the error is made. To avoid this problem when recording an action, use keyboard shortcuts to select a layer, rather than clicking on the layer's name. Layer selection shortcuts include: Option-[ (Left Bracket) (PC: Alt-[) selects the next layer down; Option-] (Right Bracket) (PC: Alt-]) selects the next layer up.