For conventional priority, you'll need to mark a frequency as priority. Next you'll need to get in the scanner setup options, general tab and choose either Priority On or Priority On+. (As in two things have to be set.)
Also, the scanner has to "see" a priority frequency. If it does not, because the priority channel is locked out, etc., you'll get an error message. The scanner has been told to look for a priority frequency, but can't find one.
On trunked priority, called Priority ID scanning, it also requires two steps. When editing the system, you'll need to check the "Priority ID Scan" box for the trunked system setup pane. Next for each talkgroup you wish to be a priority, you need to check the PRI box beside the channel information. Next to L/O, which is beside TGID.