I am trying to apply gravity to a study.

I think the issue might be the same one I was having. You select a reference plane and then try to apply gravity and the reference plane then disappears and it says to select an entity... which you though you already did. Just turn the "Show Preview" function off within the "Symbol Settings" menu. Then re-select your reference plane. This should fix your issue.  

Found this thread that might be worth the look. Gravity Error in Static Simulation