Solved it, this error for me occured because of a bit of oversight during customising (yeah you can call it stupidty in plain English). This is what I had to do:
1. Please check the customising setting Forecasting & Replnishment -> Interfaces ->Alternative transfer of Consumption From BI - Profile.
2. Select the default profile (or the profile assigned to the location whose products' consumption you are trying to load: Look into /fre/mass_loc to find this profile).
3. Clikck on Details and Uncheck the "Do Not Transfer Consumption from BI" check box (there are only two check boxes and this is the first one. (common sense!!)
4. Save
Try Initial Transfer again, it should work.
Regards,
Manoj