Message shows up when you try to accept a Steam gift consisting of DLC for a game you don't own. A friend sent me DLC for a fucking Bratz game made (published? developed? unsure) by the "Peppa Pig: World Adventures" studio and I got to witness a beautiful new error get born.
It also shows up when you are trying to accept a gift from an IP in wrong region to what the gift is locked to. E.g. CIS country user giving it to you also in a CIS country, but your IP is saying that you are in Germany/etc.
There is an option to set your purchasing country to a specific one, but you still need to be located there and shit. And if there's a mismatch, it does this.
Also purchasing from IP not matching the country on record is just fine. I do that all the time thanks to the VPN I have set up.