It is very likely that said error message is actually casted and waiting for your confirmation. Unfortunately, depending on many factors such as Operating System (you didn’t mention any), if the plugin is “Always on top” etc, such message dialogs may be hidden behind other windows. Check Taskbar or Finder to see if such a message box is hidden.
If “Get HD Files” fails, we provide a secondary option: have the Performer find the project folder (documents, VSTConnectPerformer) with the Cubase project name and have him send it to you by whatever method you prefer. Then, while offline (not logged in), choose “Get local Files” and point to that folder.