If you see such message “Error: Order was not created. There’s no associated product found for eBay item in magento catalog.” in eBay Orders and order is not created in magento. This means that this order belongs to the product which is not found in magento catalog. Most probably this item was listed outside the m2e pro.
So you need just set appropriate settings for order importing to allow M2E Pro handle such situation.
If you want to import orders which was listed not by m2epro and products is not found in magento, then you should set option Product Not Found to “Create Product and Order” in eBay account for order importing settings.
If you want ignore such orders, then you should set option Product Not Found to “Do No Create Order”.