Hello everyone,
...
If you open the Console in Blender it will have more information about the error, please copy and paste it.
(Menu bar:
Window > Toggle System Console
)That error means the animation you're loading isn't compatible with the skeleton ("armature") you have in the scene. Did you make the skeleton yourself or import one from some of the official HoI4 models? (I sort of already know that you made it yourself, because it doesn't look anything like the usual HoI unit skeletons).
Any animation in the game is made only for the original skeletons, so you will have to use them on your custom model, unless you want to re-animate everything just for your unit.