I, too, have experienced the same problem, but for me it issue arose when I changed the 1st level conditions to readjust my analysis type. CONN 16b appears to process everything well up to the 2nd level, but at the 2nd level voxel-to-voxel GUI none of the added/altered 1st level conditions show up. I get the same error window indicating that 1st level analyses are still necessary. I suspect that the 1st level data are there but CONN can't find the path or variable names associated with the conditions?

Jeff