Not a NYTProf expert, but I think it looks for all the modules that contain code that was executed, so if it doesn't have them on the system where you run nytprofhtml, it complains.
In your case, you have evals it's trying to find the code for, which it can't for some reason. However, I don't remember this being a fatal error, as it can still find the code for everything else. I think I've seen those errors before, and it's still generated the HTML for me. So maybe you just need to tweak the params you're using when you call nytprofhtml?