This exception means that the data (Answer Option) you are trying to import does not exist for the Question it is mapped to. In order to import this applicant, you will need to add this answer option to the application.
Click on the Application tab
Locate the question where the answer option does not exist
Click on the question text to expand the list of answer options and scroll to the bottom of the list
Add the answer option. Format it exactly as it is formatted in the data file from your SIS.
Repeat this process for each answer option that needs to be added.