When predicting to raster and not allowing predictions outside of the data ranges, each categorical variable provided in the Match Explanatory Rasters parameter must be present in the input points used to train the model. The number of prediction features with categories that do not exist in the training features are displayed in the message. Predictions were not calculated for these features.
No action is required. However, you can use the Allow Predictions Outside of Data Ranges parameter to allow extrapolated predictions.