I host my own copy of the wordpress software AND I have a wordpress.com account( with a blog). Whatever change wordpress.COM made, the stats plugin can't handle that.
I updated my existing wordpress.COM account to have a separate email address from the wordpress blog software installation I host.
I then created a new wordpress.COM account, without creating a blog there, to get a new API KEY.
I went into phpMyAdmin, the wp_options table and deleted the information in my stats_option field.
I relogged in to my blog ( my private installation I host ). It told me that for the stats plugin I needed an api key. I followed the links to my NEW wordpress.COM account ( without a blog ) where it showed me an API KEY. I took the new API KEY, put it in my self-hosted blog.
No stats yet, but the error messages are gone and a message says its collecting information as well as that it will report it when it has some.