When an Amazon order lands in the Errors tab and you click on Failed Order, the dialog shows the failure reason. A "product not found" reason has two flavours, distinguishable by what you see in the dialog.
If you see a red No products found banner inside the Failed Order dialog, the SKU on the Amazon order doesn't exist in the app at all. Most commonly this means:

Restore the Amazon product; otherwise the failed order can't be auto-resolved.
If the dialog shows "Failed order reason: SKU***:product not found" but without the red "No products found" banner, the SKU exists in the app — it's just not linked to a Shopify product yet.

You have two options.
In the Failed Order dialog, use the Search field on the right to find the Shopify product and link it. Then click Create Order on Shopify to retry the order creation.
If you don't want to link the products and would still like Amazon orders for them to flow into Shopify, enable this setting:
Settings → Order Settings → Order → Sync Amazon orders for not-linked products
By enabling this, you ensure that orders placed on Amazon for products that require linking in the app are also synced to Shopify.