Ah, now its falling into place. The Priority settings mentioned before, the ones set in the Profile, are only applicable to conventional systems. But since the system you mention is a trunked system, it is a different ballgame.
Turn off the Priority things in the profile. You get the error because the scanner is looking for a conventional frequency set as priority. Because you have a trunked system, there are no conventional channels involved. (Like trying to watch a television show on an AM radio).
Restating what was said above, edit your Favorites List, go to the system and look in the options tab. Turn on Priority ID Scan. Then set one or more talkgroups so that P-Ch is On.
Trunked priority and conventional priority are two different things. Priority on Uniden scanners is confusing so don't beat yourself up. Also, with Priority ID Scan, there is no preemption, so don't expect a conversation to "stop" while the scanner checks for traffic on a priority channel.
You got it! I believe this is the source for much confusion and frustration, and many claims of "Priority doesn't work" are more of a programming issue then a scanner default. Improvements could be made if possible...mainly allowing preemptive priority on trunking systems, or some sort of a "Global Priority" option which would the scanner to jump right to the trunking talkgroup or conventional priority channel of choice.