This error indicates not all of the SAO Application fields are not mapped. All fields, even if the field is not used must be mapped in order to use the SAO integration.
There are three areas that need to be mapped:
Current Grade Mapping
To map Ethnicity:
Navigate to Core > Users > User profile settings > Ethnicity Types.
Once the fields exist, then you can map in Enrollment Management > Admissions > Admissions setup > Standard Application Online (SAO).
You can also create a field called "Not Specified, if you do not want to use Ethnicity Types.