I did a little bit more research on this.
The error message is originating from AWS SES. This happens if you are using AWS SES sandbox. According to AWS documentation:
Email address is not verified. The following identities failed the check in region region : identity1 , identity2 , identity3 —You are trying to send email from an email address or domain that you have not verified with Amazon SES. This error could apply to the “From”, “Source”, “Sender”, or “Return-Path” address. If your account is still in the Amazon SES sandbox, you also must verify every recipient email address except for the recipients provided by the Amazon SES mailbox simulator. If Amazon SES is not able to show all of the failed identities, the error message ends with an ellipsis. https://docs.aws.amazon.com/ses/latest/DeveloperGuide/ses-errors.html
In the background, Auth0 just makes API calls to the SES endpoint to send email through custom email provider configuration. Auth0 does not check the email domain is verified or not. Then, if SES endpoints return an error, Auth0 just logs the message. As far as I know, moving from sandbox should solve the issue.
To avoid this, you need to contact AWS support and request to move your SES provider from sandbox.