This is probably caused by a file permissions problem when trying to create the file in your "files" directory. Make sure that this directory and all of its contents can be erad and written to by both the web server user (typically nobody or www-data) *and* the user you're using to import the XML (i.e. if you're doing it via SSH using the external importexport.php tool).
Double-check in the Editor's interface to see if the PDFs have been properly uploaded under each submission's Editing page, under Layout, in the Galleys list.
Open Journal Systems Team
Don't miss the First International PKP Scholarly Publishing Conference
July 11 - 13, 2007, Vancouver, BC, Canada