You will receive this message if your username has been input wrong. Please go back into the Garmin Connect Mobile app. Connect to your watch with GCM, and go to Activity, Apps & More > Data Fields. You will see Stryd Zones, and you can change the settings of the Stryd Zones data field. Input your correct username (not case sensitive).
You can find your Stryd username in PowerCenter and in the Stryd app on your phone.