It's been fairly common for us to come across sources of boundary data where the odd polygon is missing, and we have to manually create the missing data out of the "holes" you can see in that original source. This screencast demostrates (a bit ineptly, I'm afraid) some different ways of dealing with this:
1. Create a convex hull of the surrounding polyons, use "Difference" to subtract the original boundary data, tidy up the resulting polyons (mostly deleting extraneous ones). This is good if there are lots of holes you need to create polygons from.
2. (Similar.) Create by hand a new polygon that covers the hole, and use "Difference" to subtract the original boundary data.
3. Use "Enable Tracing" and "Add Feature" to semi-automatically trace out the boundary of the hole