The cuemix plugin is not required to establish a connection, but for providing the headphone mix to the Performer. Other than in the video tutorial you are advised to use sends like you would in a local studio situation.
The message means that a peer to peer connection can not be established. This mostly happens when one party is behind a restrictive firewall (school, university, personal firewall etc). In this case he has to open (“forward”) the relevant ports (51113 if I remember correctly). See the manual (klick the question mark).