PostgreSQL Hot Standby
It sounds like PostgreSQL is set to recover from log shipping rather than by connecting as a replication user.  Please double and triple check your recovery.conf and if that doesn't work, then post it here.

The approach you are taking is a valid approach though, and it means that the recovery will just wait for the next segment until it arrives creating the message you are seeing, but it must be transferred using whatever recovery command you have configured in the master's postgresql.conf.