It means there's issues with the MusicBrainz server... You can select them all and then right-click, and then hit refresh, and hopefully they will eventually load.
The servers have been having some issues lately unfortunately, you can check the blog for some updates, and there's also a few posts about it:
And btw, Picard/MB is not magic!! (magical maybe, but still )
We highly recommend working with a backup of your files first, and testing your settings out on just a few albums at once. Picard WILL overwrite existing tags and rename things by default so please be carfeful!
Also, Picard will not be able to magically guess everything correctly, and you will have to do a bit of manual checking/ matching. Ten albums at once is probably about right.
There's a few handy tutorials, but to start you off, you definitely want to hit 'cluster' before hitting lookup, and try lookup before using scan.