Hi Samir,
A delivery must be at the end in one transport. when you add ashipment and move your deliveries to the new shipment they are removed from the old one. If you just create / add a new shipment and save, then the message is also correct because ou didn't assign any delivery to it.
What is your business scenario ? cross-docking ? shipments with multi-legs ??
With VT11 you can also reorganise your shipments, but the rule is one delivery in one shipment with status planned.
Rgds,
Philippe