In your Profile editor, go to the Miscellaneous tab. Change your Priority Scan Mode to Off. (This setting pertains to priority scanning on conventional systems.) With it being on, it expects to see some conventional frequency being marked as priority, if it does not, then you get the error message.
Then get into your Favorites List editor. Edit the applicable Favorites List, and drill down to the system you are monitoring. Go to the Options tab and set the Priority ID Scan to On. Then, edit the channel section and change those channels you want to be Priority so that P-Ch to be On.
The thing to remember is that trunking priority is much different that conventional priority. In conventional, an in-progress, non-priority transmission will be pre-empted to check for traffic on the priority frequency or frequencies. Trunked systems do NOT do that (except for certain types of trunked systems). The only priority "things" that happen are when the scanner is monitoring the control channel, as in no transmissions in progress.
Yeah, it's a little bit of a misnomer, but that's the way it is - no pre-emption. So you could be listening to the cops, who are not priority channels, and fire, who is a priority channel, could be talking up a storm. You will hear the cops until they release the voice channel.