Well of course there's an issue, you moved those Pokemon (that have already entered HOME once and so have a tracker ID assigned to them) from SWSH to Scarlet/Violet via PkHeX instead of HOME.
What that means is HOME can see the Pokemon have somehow moved from SWSH to Scarlet/Violet without going through HOME, which can only mean you used a method such as PkHeX, thus flagging those Pokemon as illegal.
If you want to fix it: move those Pokemon back to SWSH (assuming these Pokemon were originally caught in SWSH), delete their HOME Tracker ID's in PkHeX, and then reupload/move them to Scarlet/Violet with HOME (the only official way to move Pokemon from one set of games to another on the Switch).