In the company profile what option do you have for 'Use base price list if not found'?
In your import order template, do you have either H-Price List or D-Price List selected? If so, which one has the CNH price list value? If not, is this the value defined on the customer?

There are many options that could possibly affect this. That being said, those validation messages should not appear if the item number has correctly been defined on an alternate price list.