Hi Asha,
I checked the document and as you are getting a error message even after clicking Yes, hence I think you need to further check where the issue is exactly happening.
"An error occurred while opening CA PPM project in Microsoft Project. Please try again." is a very generic error. So please follow this technical document and see if you can get more details about the error:
Clarity: How do I enable CA PPM Schedule Connect l - CA Knowledge
Follow the steps as mentioned in the technical document.
Since you are getting the problem while opening the project in MSP, you should review the logs that you get in the schedLoggingInput.txt file.
Hope that helps.
Cheers.