maybe an obvious question...but.. you are pressing the 'do it, convert all materials' button .. correct?  not just pressing the 'draft/preview/final' buttons.  This message pops up when there is not an entry in the xml file for a material that is in the figure.  I cant recall if v4 has a default material but if it does it shouldn't do anything at all, so the fact that ezskin cant convert it shouldnt matter