3D Settings of a footprint can have a path to a 3D model set even though the corresponding model file doesn’t exist.
In fact, it is a clear requirement by the kicad library convention rule F9.3 point 1 that every footprint in the official KiCad library must have a default model path set even if the 3D model does not exist in the library.
KiCad accepts that. Version 5 doesn’t warn about it or explain it in any way, but in version 6 an indicator of a problem was added, and by hovering over it the reason is seen (in the screenshot above). The question is, why do some KiCad official footprints have those paths even if the models don’t exist in the official 3D libraries?
Because it’s very easy to update the libraries later by just adding a new 3D file to the file system. If there would be no predefined path in the footprint settings, the footprint should be updated, too, when a new 3D model was added.
All models are made by volunteers, therefore not all footprints have corresponding 3D models, and changes to the official footprint and 3D model libraries are managed separately.