As you know Loops and State Machines are not supported scenarios for the SharePoint Workflow template in Visio 2010 Premium, in fact they are not supported using the out of box features in SharePoint Designer 2010. A lot of times you might run into a situation where you want to compare some value, say the result of an Approval action and if Rejected loop back to some other action within the workflow.
If you try this you will get notified by the validation feature when you attempt to export.
So how do you fix this?
There is a nice article on the Microsoft web site that lists all the validation issues that the SharePoint Workflow template supports with descriptions of each and suggested solutions.
Take a look at this http://office.microsoft.com/en-us/visio-help/sharepoint-workflow-validation-issues-in-visio-HA101893811.aspx#_Toc266178970