At a simple level, this is just a new manifestation of a familiar friction between governors and national political parties. Their imperatives are frequently at odds one another. Governors have to govern, and have to claim credit for all the good things happening in their states.
But the almost arbitrary reality in this case is that Romney's experiencing these tensions in must-win states. If the economies in Ohio, Virginia, Wisconsin, Florida etc. were stagnant or deteriorating, it wouldn't be happening. The unemployment rate in Ohio, though, is 7.3 percent. In Virginia it's 5.6. In Wisconsin it's 6.8. In all those states, trends are moving in the right direction. Florida's at 8.6 -- higher than the nation as a whole -- but heading down pretty rapidly.
Whether that matters at a macro level is a matter of some dispute. Voters don't become inured to national problems just because things are doing OK locally. But at a tactical level, it's harder to convince voters that the nation's in crisis when your own allies are saying the crisis is over.
Like I said, I think some of this is arbitrary. It's a big country, and it could theoretically be the case that swing states were damping the national economy, while reliably blue states like California were booming. But the opposite appears to be happening. To the extent that it's not coincidental, or a function of the business cycle picking back up, Obama's industrial policy is a big part of the story here. Virginia benefits from high levels of military and other government spending. But whatever the reasons for it, it's clearly rattled the Romney camp.