If the column that is your Org ID has any blanks you will get this warning. It doesn't mean anything failed in the import. It is basically saying 'you had a row where you said to create a related org but you didn't give me an ID for that row so i am just letting you know'
Apart the right answer of Pete (thanks) here above, I have found something else who explain the problem I have : I had two relationships in my import scheme: the one for the "Member of" relation and the second for the "Employee of" relation. This cannot work... and I need to make two separate imports for each relation.