I am also getting this error.
Where there are more that 1000 of a post type WordPress SEO splits them into separate sitemaps - you should see this if you visit your sitemap_index.xml
Where I have more that 1000 of a custom post type (may affect standard posts/pages too, I don't know) the first XML file "my-custom-postype-sitemap1.xml" works fine but all others "my-custom-postype-sitemap2.xml", 3, 4 etc... come up as page not found which is why these are showing error messages in Google Webmaster Tools.