If you are using s-function for code generation, then s-function should be supported with inlining TLC file. TLC file tells RTW, how to generate code for perticular s-function and inilining a s-function is always recommended for production code generation.
If you still want to generate code from non-inlined s-function (not recommended) set Support for 'non-inlined S-functions' option ON in the Interface pane of Real-Time Workshop setting.
If you are using model referencing in Accelerator Mode see here limitation for s-function in this mode.
