The message can be output by the 'mover' process. Recall that mover moves files between array and cache. Share 'Use Cache" setting Yes means files will move from cache to array, setting Prefer means files will move from array to cache.
To move files, the mover looks at files on the source and moves them to the target. After all files from a directory have been moved, it attempts to rremove (delete) the source directory. If there are still files left in the source directory, the above error is output and the source directory is left in place.
How could there still be files left in the source directory if they were supposedly moved to target? Several things can cause this:
The source file was "in use" at time mover wanted to move it. You see this mostly with loopback-mounted image files, but could happen if a file is opened by some other process.
There was an error moving the source file to the target, for example, out of space on target.
A file got created in the directory after the mover fetched the directory list. In this case the file will get moved next time mover runs.
Another time that error can be output is if some process attempts to delete a directory that's not empty.