I get that message when I try to add a via to an internal layer.
I had done the following before trying to add the via:
1. Plane>Place Plane shape to place a plane shape corresponding to "GND1".
2. Editor Control > Layer Settings to pair layers 4 and 2, where the plane shape was created on layer 2.
After that I started a "GND1" connection on layer 4, plowed and double-clicked to connect that trace to the "GND1" plane shape on layer 2 and got that message.