This error occurs when clicking the book icon because no Default Custom Holdings path has been created. The book icon is one of two buttons in this section of the ILLiad Client ribbon:
Instead of clicking the Default Custom Holdings button, click on the Holdings dropdown button to select from a menu of options including: Default, Regional, State, and All.
Additional information
To set up a Custom Holdings Path, see Configure Custom Holdings Paths.
After Custom Holdings Paths have been configured, Default Custom Holdings Paths in ILLiad can be defined by setting values in the Customization Manager for the OCLCILLLoanHoldingsPath and OCLCILLArticleHoldingsPath keys.