Because the nameservers aren't pointing to the server's nameservers (as suggested), it is throwing the error. This is becoming more and more common as individuals start using more and more outsourced dns (dnsmadeeasy, etc).
How to resolve it? There are two ways:
#1: change your nameservers to point to the 4 server's nameservers (all of them, not just one or two). This can result in downtime, however, and isn't really recommended.
#2: Fix the option in WHM. In whm->tweak settings, make sure that this option is checked:
Allow Creation of Parked/Addon Domains that resolve to other servers (i.e. domain transfers) [This can be a major security problem. If you must have it enabled, be sure to not allow users to park common internet domains.]
This really is redundant any more and doesn't need to be used. Just make SURE to follow the instructions and NOT allow users to park common domains.
This can (at times) become a security issue, but only if you don't keep a close eye on what your users are doing.