When you get that message during a PROCESS, the message comes from the GET_VERSIONS routine in *WINPROC:
14320 LET _X$=MSE
14325 IF MID(_X$,1,1)=$FF$ THEN PRINT "Not a graphical device -- cannot use Nomads panels"; EXIT
Can you enter these commands in PxPlus console mode and show us the output:
PRINT CVS(FIN(0),16)
PRINT HTA(MSE)