Altium Summer 09 Unknown PIN Errors
This has nothing to do with missing PINs in components. This has to do with that the PINs in the schematic differs from the PINs in the layout. My guess is that you have added components to the schematic and when you validate the schematic against the layout (Validate Changes) Altium can't find the new PINs in the layout. A strange way of the program to say that you have added new pins to the schematic that are not in the layout. This happens often for me as well in Altium.

If you press Execute Changes, I'm pretty sure that Altium will add the new PINs to the layout without giving you any trouble. I'm not sure but if you then press Validate Changes you will get nice green circles all the way.