Hard to say what's exactly gone wrong but that msg usually only comes up when you change gamertag/profile when in a game. Guessing you had a glitch which signed out your profile which sucks cos it wouldn't have recorded your last save point i.e. mission completed. It shouldn't effect you getting Grizzled Vet if you reload and continue.
Last Game Completed:
| Retail | Rugby 15
| Arcade | Gotham City Impostors
| (2/12/14) |
| NPPL Championship Paintball 2009
| GTA IV + DLC