A reporting unit can be specified on both the row and the column as well, although those would not be referencing the company, just the name of the reporting unit.
The only time I can say I've run across that error is when a row or column is specifying a unit of the tree that the report is not being ran for. For example, you've got a column set up that is set up for a column per company and each column is set for a specified unit of the tree. If you then generate the report and choose only one of the units, it would throw the warning for each unit that is not included.