That waring is telling your there is no available COGO project file (.gpk) available for your project (based on the COGO file path settings). You should answer yes and create a file. Once created you should be able to import the points.
BTW, I can see these posts continuing for quite a while as you delve into all the modules and features of the product. I suggest you subscribe to Bentley Learn or another resource for training to get a basic understanding of the tools and workflows. I know the value of user forums and I'm happy to help when you run into problems once you've gotten oriented.