It is an extremely obnoxious error, as it is occasionally very hard to find the responsible vehicle. Would it be hard to implement some information, or making it clickable, so that one is sent to the vehicle in question that cannot find a depot?
Have you tried the filters in the vehicle list? Vehicles with no route can be found that way, so hopefully this one, too.
Hmm - I suspect that this might well be fairly difficult, as adding non-trivial things to the Simutrans GUI is never easy. I shall bear this in mind, though.