I don't know if this will solve your actual issue. Since you haven't shown us the actual input file, I have no idea if what you are attempting will even work. In any case, to fix the error you're getting, use this:

awk '/CREATE DATABASE/{x="F"++i;}(x){print > x;}' file2

That modifies the script to only attempt to print to file x if the variable x is set. The error you were getting was because it was attempting to print all lines, some of which apparently are before the CREATE DATABASE string. The script above is equivalent to writing:

awk '{
      if(/CREATE DATABASE/){i=i+1; x="F"i;}
      if(x!=NULL){print > x }
     }' file2  

I don't know if this will solve your actual issue. Since you haven't shown us the actual input file, I have no idea if what you are attempting will even work. In any case, to fix the error you're getting, use this:

awk '/CREATE DATABASE/{x="F"++i;}(x){print > x;}' file2

That modifies the script to only attempt to print to file x if the variable x is set. The error you were getting was because it was attempting to print all lines, some of which apparently are before the CREATE DATABASE string at which point x was unset. The script above is equivalent to writing:

awk '{
      if(/CREATE DATABASE/){i=i+1; x="F"i;}
      if(x!=NULL){print > x }
     }' file2