A data frame in the document you are importing does not have a spatial reference. Your data frame should have a coordinate system (spatial reference) that defines the output map projection of the map display.
Solutions
- Do nothing. Accept the map, and set the coordinate system in ArcGIS Pro.
- Open the map document in ArcMap and define the output coordinate system for the map's data frame. By default, this is set to the coordinate system of the first map layer that is added in ArcMap. Once the output coordinate system is defined, reimport the map document.