question

The reason causes this error is that you haven’t passed the corresponding EntityToken as the request header when you call the API SetObjects. PlayFabSDK would help you store the EntityToken to the PlayFabSettings programmatically. So you just need to call this API SetObjects in the call back function of some login API to let the request header contains the correct EntityToken. You can refer to the following testing code.

function DoExampleLoginWithCustomID() {
    PlayFab.settings.titleId = document.getElementById("titleId").value;
    var loginRequest = {
        TitleId: PlayFab.settings.titleId,
        CustomId: document.getElementById("customId").value,
        CreateAccount: true
    };

    PlayFabClientSDK.LoginWithCustomID(loginRequest, LoginCallback);
}

var LoginCallback = function (result, error) {
    if (result !== null) {
        document.getElementById("resultOutput").innerHTML = JSON.stringify(result);
        var setObjectRequest = {
            Entity: {
                Id: result.data.EntityToken.Entity.Id,
                Type: result.data.EntityToken.Entity.Type
            },
            Objects: [...]
        };
        PlayFabDataSDK.SetObjects(setObjectRequest, SetObjectsCallback);

    } else if (error !== null) {
        document.getElementById("resultOutput").innerHTML = PlayFab.GenerateErrorReport(error);
    }
}
var SetObjectsCallback = function (result, error) {
    if (result !== null) {
        document.getElementById("resultOutput").innerHTML = JSON.stringify(result);
    } else if (error !== null) {
        document.getElementById("resultOutput").innerHTML = PlayFab.GenerateErrorReport(error);
    }
}