Hi Joe,
A market segment is the collection of contacts that you target with a customer journey. It means that your final clause should be end with Contact entity.
Read Here.

For example, if you want to filter associated contacts of leads that created last month, you should add a lead > contact relationship, then end full query with contact.

If not, you'll get a incomplete groups notification.

Could you share me details that how did you set your clauses? I didn't reproduce your situation: incomplete groups: 2.
Regards,
Clofly