If you have narrowband images the script automatically uses a narrowband palette. You specify the palette in the Settings tab and there in the Narrowband processing section.
The default narrowband palette is SHO. With AutoContinue it wants files with names Integration_S, Integration_H and Integration_O. If you do not have one of those files you need to select a correct palette in the Narrowband processing section, like for example HOO.
Note that if you have set a prefix, like “test”, it will search files with names test_Integration_S, etc.
You said that you opened three master files. Maybe file names did not match the file names expected by AutoIntegrate?