Wal files delayed - PostgreSQL 9.2

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 directory - 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?