Ok, I narrowed it down to the PlayerNames module (and actually believe I sloved it too).
To reproduce try the following:
1) Log in with a char with only Prat enabled (he shouldn't be in a guild)
2) Disable all modules except the PlayerNames module
3) /script ReloadUI()
4) You have the message! ("You are not in a guild.")
Alternatively you can also just disable the PlayerNames module, reload the UI and then enable it. As it gets enabled the message should appear.
Since I try to learn LUA I took a peek into the module, and found a call to "GuildRoster()" inside the OnModuleEnable, which gave me excatly that error.
I replaced the line with "if IsInGuild() then GuildRoster() end" and the message disappeard. You might want to put that if around the whole block, but for my short debugging/learning LUA session it was good enough... ;)
Are you in a guild? If yes, then its most likely a WoW bug. If not, I'm not really sure. When does it happen?
It only happens on chars which aren't in a guild, on login (didn't try reloadUI yet, but it will happen then most likely too). I will try it tonight again and see if it still happens and if I can break it down to a module.
I noticed yesterday while playing that Prat apparently tries to send something to the guild channel (I usually get the message "You are not in a guild" when I login and sometimes even randomly while playing). But on the char that is actually in a guild I don't see that message and nothing is written into the guild chat. What could that be?