@José Morales Please help me understand the reason for this issue, when i add the lag feature the model runs, but without it, it does not.

does your data have any features? you're not creating any

@José Morales my data is a hierarchical data, having columns as Business, country, Hub, Product, dates, values. I am not creating any features. After tranforming the data i have unique_id, date, and values

so the question is: what do you want to train the model on? id, date and values are the required input format for mlforecast, but in order to train a model you need to create some features to predict the target. If you're not creating any features then it'll fail to train, since the X will be empty