The model for at least one subset cannot be calculated because the subset is overparameterized. To calculate the model, each subset must have more data points than parameters that must be estimated. The minimum number of points per subset must be at least the number of explanatory variable rasters, plus 11. For example, if you have 20 explanatory rasters, each subset must contain at least 31 points.
Increase the Maximum number of points in each local model to at least the number of explanatory variable rasters, plus 11.
If you used Subset polygon features to define your own subsets, identify the polygons that contain too few points and make any necessary alterations to the subset polygons.