Altium error message: Net(s) Not Found in Differential Pair
In comments you said you have different labels on these nets on a different sheet.

Probably, Altium has chosen to use those other labels for the overall netlist, so if they don't have the correct _N and _P endings, Altium won't be able to define these nets as a differential pair.

I'd recommend not labeling signals differently in different sheets. Either remove the labels from the other sheets, or be sure to label them the same in all sheets.