Thanks. I checked "email me when somebody replies" in my reply so I was notified of your reply.
Disabling the four drives for my multi-card reader and setting HKEY_LOCAL\MACHINE\SYSTEM\CurrentControlSet\Control\Windows\Errno to 2 didn't help. It didn't display the popup, it just crashed. I've reset Errno back to 0 and uninstalled the four drives.
Supposedly the "DR" stands for "Device Removable" in the "Please insert a disk into drive \Device\Harddisk1\DR1" dialog. The only removable media drive I now have is my CD/DVD drive (Drive D:).
Unfortunately, while testing I overwrote my saved game and I can't easily reproduce the problem anymore. For while I was able to reproduce the problem by selecting a destination that was in another faction's territory, but hidden by the fog of war, for an army that contained both a champion and a spider in a narrow alley between two of that factions cities. When I switched to moving it one space at a time the problem didn't occur.
http://sheeeng.blogspot.com/2012/03/there-is-no-disk-in-drive-please-insert.html talks about fixing the problem using a "drivecleanup" program to remove USB drivers for devices that are no longer connected. I'm leery of using that. The author (of that blog post) tried that and it didn't work. Instead he solved it by removing some broken paths in the %PATH% environment variable. No idea why broken paths would only effect this game, but its worth a try.