A NAND dump is a copy of the Wii's system files that are necessary to emulate games (roughly equivalent to BIOS dumps for PS1/2 emulation). It appears your dump is incomplete (apparently some games require a full dump while others do not).
The Dolphin wiki has this to say about dumping NAND memory from your Wii.
Dumping NAND with BootMii
To dump NAND with BootMii, you'll need:
A homebrewed console with BootMii installed
A SD card
Access BootMii through the Homebrew Channel. Use a GameCube Controller or the Power and Reset buttons to navigate through the BootMii menus, as detailed here. Select Options (gears icon) on the far right. Select Backup NAND (Green arrow from chip to the SD card), and wait until it completes. Once completed, remove the SD card and put it into your system. You should see a file named NAND.bin on the SD Card. If you do, your NAND has been backed up.
Placing the NAND files into Dolphin
Use NAND Tools to extract the files from NAND.bin. Make sure to back up any Dolphin files you wish, then place the NAND files into the User/Wii/ subdirectory. DO NOT replace the User/Wii/shared2/sys/SYSCONF file. Dolphin has its own, unique SYSCONF file, and overwriting it with the one from your NAND dump will confuse Dolphin.