You should check if M2E Pro Shipping is enabled in the list of shipping methods for the Magento Store View where an order is being imported.

To do that, navigate to System > Configuration > Sales > Shipping Methods > M2E Pro Shipping tab (for Magento 1), or Stores > Configuration > Sales > Shipping Methods > M2E Pro Shipping tab (for Magento 2).

Another reason for this error is an external shipping extension installed in your Magento which overrides core functionality.