I reported this issue here: Joule heating analysis - no degrees of freedom in the model but came to the conclusion it was because I had no air domain (this procedure seems to be limited to quite specific subset of cases).
You have 3 domains (including air) and this kind of setup is mentioned in the documentation. You also have the required material properties (maybe even redundant for some materials because only the air needs magnetic permeability).
Can you share the whole input deck (via some hosting website) ? Is your model based on some example from the documentation ?