What a wonderful informative message.
It happened when I logged into Gnome 2.6, once for each applet in the panel. Given the clarity of the message I had no doubt the applets didn’t load. I could also see they were missing in the panel 🙂
After some searching I finally discovered the solution: log out of Gnome, remove /tmp/orbit-XXX where XXX is your username, and log in again. Problem solved.
One vote from me for intelligible error messages.