When you see the "This player has not yet logged into this season" message on your roster, it means the specific player has not yet logged-into that season on their mobile device or on a computer. They may still be on an older season, or they haven't yet logged-in to their new BenchApp account.
Players can still check into and out of games without logging-in, so you may see them set their attendance for upcoming games and still be labeled as not having logged-in yet.