Cutsomer Master record does not exist.

I have created a customer master record with partner functions:

Z1-Sold-to-Party

Z2-Ship to party

Z3 Payer

Z4 Bill to party

I have all these partners in the CMR. When I create sales order, the error I am getting is "Customer Master Record does not existing". I have the above partner functions in partner procedure assigned to sales order.

Any idea / suggestions how to fix this problem?