Hi Nate,
Some annotations do produce warnings like "Error, incorrect gff. exon doesn't have valid transcript" ; however, this does not indicate that the build will produce invalid results, rather, there exist a few exons which don't have a proper transcript specified in the annotation, so these exons will not be used downstream. For example, I see that the ensembl annotation has approximately 40 orphan exons. However, the rest of the annotation is usable and it should generally not be a cause for concern. Let me know if that answers your question.
Thanks,
-San