It can be one of three cases:
• You defined W-SUN as frequency but your data has W-TUE for example.
• You have gaps in your series, for example your data jumps from 2023-07-09 to 2023-07-23 (it skipped 2023-07-16)
• One or more of your series are too short for the cv. For example if your horizon is 10 and you have two windows you need at least 21 samples in each serie