Louis,
When EG3 submits a job to SAS, it "listens" for events from the SAS server that indicate an error. Occasionally SAS triggers an error event that doesn't correspond to an error in the resulting SAS log.
In this case, I think you can consider the error indication as erroneous -- or at least not important for your output. EG 4.1 fixes this by actually examining the SAS log for error lines and displaying the dreaded "red X" only when the log actually contains an error.
Chris