The string: "Saving backup projects to Creative Cloud requires a Creative Cloud Files directory. Please install the Creative Cloud desktop application on your computer to enable this feature."
Is NOT an error message. It is an informational warning. (I agree it sort of looks like an error though)
Just click OK and make sure that you indeed HAVE installed CC desktop app on your computer and that you are signed into it and that file syncing is enabled. Then wait the specified amount of time (15 minutes by default, but can be set as low as 1 minute) for an auto save happen, and make sure to make at least one savable edit (like trimming a clip in a sequence) during that time. Then check your auto save location in your CC Files directory. If auto save backup is still not happening at that point, then you have a bug and it should be reported as such.