Off-board connected nets in KiCAD
You don't really need to tell KiCad that the pins are connected elsewhere.  DRC and ERC errors will not prevent the program from producing Gerber files - they are just warnings to you that something doesn't comply with the rules you have given to program.

It is safe to ignore DRC and ERC errors, providing you know why the errors are there, and are certain that they are acceptable.  It is, of course, best if you can clear all errors, but occasionally some errors are unavoidable (or it is too hard to adjust the rules to avoid the errors).