There are two different types of "Priority Scanning". One for conventional, the other for trunked.
It appears you have turned Priority Scan on in your Profile, which is for conventional (noting you are interested in the trunked version.) When that conventional priority is on, the scanner expects at least one channel to be marked for priority. If it can't see it, then the error message is generated, though the scanner keeps going.
For trunked, it is called Priority ID Scanning. You turn this on as a setting in the system options. You also need to mark one or more channels as priority. As noted previously, there is no pre-emption of ongoing transmissions to check for activity on a priority talkgroup. So priority in trunked systems isn't what most folks expect.