Each contact in Odoo has a customer location defined: Partner Locations/Customers.  This location triggers the one-, two-, or three-step delivery routes. 

A company using Odoo also has a contact created for it, but the customer location is defined as Physical Locations/Inter-warehouse transit. The delivery routes don't use this location at all, which results in this error. 

Create a new contact (name: Pick Up, In-store pickup, etc) and use this as the delivery address. 

I had the same problem. When a customer chose self pickup, I therefore chose our own address as the shipping address, which somehow created the same error. To solve this, I added a shipping address to my company contact, called it self-pickup and chose this one instead. Then it worked.