Wal files - Question | Postgres 9.2

Hi guys,

I currently have a slave02 server that is replicating from another slave01
via Cascading replication. The master01 server is shipping wal_files (via
ssh) to both slaves.

I'm doing some tests on slave02 to test the recovery via wal_files... The
goal here is to stop postgres, wait few minutes, start postgres again,
watch it recovering from wal_files, once it's done see the streaming
replication start working again.

1 - Stop postgres on slave02(streaming replication + wal_files)
2 - Wait for 5 minutes
3 - Start postgres - The goal here is to tail the logs to see if the
wal_files are being successfully recovered

However, when doing step3 I get these messages:

cp: cannot stat '/walfiles/0000000200001AF8000000A4': No such file or
directory

cp: cannot stat '/walfiles/0000000200001AF8000000A5': No such file or
directory

cp: cannot stat '/walfiles/0000000200001AF8000000A6': No such file or
directory
LOG: consistent recovery state reached at 1AF8/AB629F90
LOG: database system is ready to accept read only connections
LOG: streaming replication successfully connected to primary

still on slave01: *Sometimes the log_delay time is bigger.. sometimes is
lower*

SELECT CASE WHEN pg_last_xlog_receive_location() =
pg_last_xlog_replay_location() THEN 0 ELSE EXTRACT (EPOCH FROM now() -
pg_last_xact_replay_timestamp()) END AS log_delay;

log_delay

-----------

0.386863

On master01:

select * from pg_current_xlog_location();

pg_current_xlog_location

--------------------------

1AF8/D3F47A80

*QUESTION:*

So.. I just wanna understand what's the risk of those errors... what's
happening?
*cp: cannot stat '/walfiles/0000000200001AF8000000A5': No such file or
director*y - Means it didn't find the file. However, the file exists on the
Master, but it didn't start shipping yet. What are the consequences of that?

Cheers
Patrick