each of your BRM accounts must be linked / connected to lightspeed (if you want that account to integrate with lightspeed)
if you don't have an account connected you will see the above error message when you try to add a 'Lightspeed->' transaction to a reservation.  If you see this message, then use the 'connect lightspeed' button to make that connection.

OR - to set this up in your settings

If you do want to link a BRM user account from your configuration (rather than waiting until you add a transaction) then please go to System->settings>Lightspeed and press the connect button: