Hello Kay, and welcome to the forum!
Have you run the tutorial on this? It recommends that you do the frequency study first, to see the mode shapes, and then to copy that to a New Dynamic Study. Did you run the frequency study? I am not able to run your part, because I run a prior version (SW2010). However, I am able to run a simple part (a printed circuit board modeled as a surface part with thickness), and have not see the "Damping cannot be defined as zero for any modeshape" error. I don't know how thick your cylindrical shell is, but you might try modeling it a s a surface part. Best of luck to you!