But then it says that 0 records were deleted and 0 records were lost due to key violations. What does that mean?
This is a composite error message (there may be more than one like this). The failure of the operation can result in deleted records, records dumped (lost) because the primary key you're trying to add is already in the target table, there are lock violations, rule validation violations, etc. The number of records affected is given for each problem type that is applicable to the error. The answers give are probably spot on with respect to the cause of the error.
Here's a good explanation of the message type in case you encounter it again in another task.
http://allenbrowne.com/casu-19.html
The more we hear silence, the more we begin to think about our value in this universe.
Paraphrase of Professor Brian Cox.