This error occurs when the individual band data cannot be found, i.e. the jp2 files located at <SCENE>.SAFE/GRANULE/<GRANULE>/IMG_DATA/<BAND>.jp2
This can occur either because (1) the path length to the SAFE file is too long, or (2) the SAFE file was not extracted properly - perhaps as a result of path length issues in your extraction program.
To resolve this issue (1) process the file from a lower level directory on your drive (e.g. C:/S2...SAFE) or (2) extract the zip file again at a lower level directory on your drive (e.g. put the zip file on C:/ and extract it there).
I hope this helps! An error message will be displayed in future version when these files cannot be accessed or found.
Quinten