Hi,
Most likely your rownames(cds@preprocess_aux$gene_loadings) are different gene ID type than rownames(cds). It could happen e.g. when you change rownames(cds) after running preprocess_cds(). Just modify your rownames(cds) and make sure that your gene subset you provide for find_gene_modules() is present in rownames(cds@preprocess_aux$gene_loadings).
Best, Michal