The popup you are showing is the Popup to configure the Access rules for MyFirstModule.TrainingEvent entity while the error is for the MyFirstModule.Location entity.
So open the Location entity and do the same Access Rule configuration for all your Module Roles (or for the needed module roles) just the way you did for the TrainingEvent Entity
Think of it this way: since each Entity is nothing but a Table in the underlying Relational Database, you are configuring RULES in such a way that who can do what(read, write or both or none) in each such table
The solution was covered in the next steps of the training.
I had not set the module security yet.