It's hard to be specific without knowledge of the exact procedures used during installation, or what type of hard disk is in use. However, the following are generally the reasons the error message is posted.
There's an option called "Install Everything Possible" in the GS/OS 4.0 Installer. If you choose this option, it's likely that the SCSI Hard Disk option gets installed as a part of the "everything possible" option.
GS/OS 5.0 uses the "Latest System Files" option to install the major portion of GS/OS -- GS/OS 5.0 doesn't have the "everything" option. This means that the "SCSI Hard Disk" driver installation must be selected independently of the System Files installation.
The "Apple IIGS System Software User's Guide Version 5.0" (Apple Part #030-1622-A) discusses troubleshooting in Chapter 9. Page 155 of that chapter states:
"SCSI device requires a driver. Please install the SCSI driver on boot disk and restart system."
This message indicates that you've connected a SCSI hard disk, but the current startup disk (or "boot disk" in computer jargon) doesn't include the "SCSI Hard Disk update." Press Return to continue starting up. When the Finder desktop appears, use the Installer to add the "SCSI Hard Disk" update to the current startup disk.
With GS/OS versions 6.0 and 6.0.1, you can still get the error message, and it still means that something is missing from the installation. SCSI drivers are still installed as separate items in most instances. If you have a SCSI device attached and you don't have a SCSI driver installed, you'll get this message.