This error message means that the photons emitted by the light source don’t hit any energy-storing object. The problem is one of the following:

• objects in the path of photons don't have photon shaders in the materials or don’t have photon shaders that always absorb photons.
• the receiving object has a strange shape as seen from the light source and mental ray for Maya is casting rays in places where they cannot be stored.
• the photon emitting light source is emitting photons in the wrong direction.