EEO-1 Exception Report - Loc not in Hierarchy

 There are 6 generic hierarchys setup with locations assigned to each.  When I run the EEO-1 Suite of reports for any one of the generic hierarchys the data looks good for the all the reports, except the EEO-1 Exception Report.  This report shows all employees with a message "Loc not in hierarchy" if the employee is not a part of that generic hierarchy. 

I found a document on Metalink which suggests navigating to Security -> Information Type Security and to query the responsibility and  verify that the below codes were added.

Establishment Information

EEO-1 Specific Information

They are already there, so that did not help.