Altium STEP export has missing 3D parts
We do such imports (Altium -> STEP -> SWX) all the time and never ever did we get such error message (some boards have ~2k parts). Try changing the 3D Model for the connector to .. say .. an extruded Box in your library, then try to export it again. I have a feeling that the model might be faulty.

Also, make 100% sure that you're not using a variant in Altium and double check that your OutputJob settings for the 3D STEP export are set to "No Variants" so it exports all parts. At least for this try.