I can see in the core game files where they're identified.Oh ok sorry I see now, this error is not affected by Events.NoCheckEventBorderPrefix.
What the error is saying is that eg GFX_event_normal_frame_religion cannot be found by looking at all the interface\*.gfx files and finding entries of spriteTypes\spriteType\name\* (i.e. it's just trying to see that GFX_event_normal_frame_religion is registered in the game somewhere).
So is GFX_event_normal_frame_religion (and others) actually defined somewhere? If so the Validator needs to be fixed to handle that.
Crusader Kings II\interface\eventwindow.gfx is the file that defines them I believe.