InfoPath: Some external data was not retrieved. The form will load without the requested data.

When moving your InfoPath form through Dev/Test/Prod, if you have an InfoPath data connection that is referencing a list (and querying that data connection like populating a dropdown), InfoPath winds up storing the GUID of that list in some of it's queries.  So if the list GUIDs don't match then you might get a message like this:

If you just recreate the data connection in InfoPath, then this message should go away.