Technical Details (which can be skipped if desired)
The reason why this is necessary is that during diary generation, Q++ creates a local holidays table on your PC, which contains only the holidays occurences that are related to the Holidays Sets you are using.
The advantage is that this makes for much faster lookup of holidays during diary generation, and frees up network bandwidth for other users. The downside is that if Q++ "forgets" to bring in holidays for a given Holidays Set, your diary will generate as if there were no holidays defined for it (and you will not get an error message).
Usually this is done automatically as Q++ scans the list of tokens looking for references to a-e-i-o-u-Holidays, and emits design-time messages to alert you if a Holidays List was referred to but not defined. However in some cases, usually if you refer to specific Holidays Sets ID's in a Macro, Q++ will not be able to notice that the referred to Holidays Set is not included in the temporary table.