Using KiCad Pcbnew (PCB layout tool) you may see “Unconnected 1” in the status bar at the bottom of the GUI. And you will see a ratsnest line (a thin white line) visible between some pin and the nearest place it could be connected.
This may happen even if you see that a copper layer (say ground fill) touches said pin. And if you use “Highlight net” tool, clicking on that pin, it will highlight other ground pins.
So the message seems to mean “there is no trace that starts or ends on the pin.” It does not mean “the pin is not electrically connected to the correct net.” And the produced board might work, since the real, copper, ground layer will touch the pin. So the message seems to be a warning in this case.
If you want to be safe and get rid of the message, simply draw a trace from the pin to some place in the ground fill, create a via, and end the trace.
Please check for yourself. I could be wrong, I am not an expert. KiCad might have changed since I wrote this. The notion of connectedness is different in the schematic editor.