The exchange requires that you provide the location of your users. To fix it go to user setup, click on exchange logins for this user then select the exchange and three down you will see Location put the appropriate field in (The originating location for the trader, e.g. for ICE it would be 'Trader' or 'Desk' etc. For CME it would be 'US,IL' or 'JP' etc).
Click here to see a list of Country Codes.