In version 4.9.0.1, when importing gifts with a Bank relationship, there is a bug that affects the validation of Bank Relationships as they are being added to the Batch.
As part of the process for speeding up the import into a batch, we now validate the gift before it is added to the batch. When you run a validation import as opposed to a real import, any new constituent or new bank is not actually created. Nor or any gifts. We create them in memory, validate them and then discard them. The problem is that a direct debit gift needs to have a bank attached. In that case we just pick a bank at random to attach it. However because that bank is not associated with the constituent, you get this error message.
If you are using banks and the constituents are new then you should not validate because you will get that error at that time. You will not get it if you are updating constituents. This error is primarily is if the banks are new as that is more often the case with new constituents that existing.