This message appears when the entered city does not exist in the city table of AFAS. This table can be found in AFAS under General / Setup / Country settings / City.
Do you want every city to be accepted by AFAS? Then go in AFAS to General / Setup / Country settings / Country, open the relevant country, go to the tab 'Addresses' and set 'Add city' to 'Y'. Cities that do not yet exist will then automatically be added to the city table in AFAS. More information about this can be found in the AFAS documentation.